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Re: st: F-statistic on ivreg2 vs ivreg with clustering


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, <rduval@gmail.com>
Subject   Re: st: F-statistic on ivreg2 vs ivreg with clustering
Date   Wed, 18 May 2005 09:29:20 +0100

Robert,

Which version of ivreg2 are you using?  The latest is 2.0.06, and I 
couldn't reproduce your problem using it with the auto dataset.

If updating doesn't solve your problem, then contact me off-list and 
we'll see if we can trace what's happening.

Cheers,
Mark

Date sent:      	Wed, 18 May 2005 00:01:49 -0400
From:           	Robert Duval <rduval@gmail.com>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	st: F-statistic on ivreg2 vs ivreg with clustering
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear all,
> 
> When I run the ivreg2 command with the "robust cluster()" options
> (without the gmm option) I get a different Fstatistic than the one I
> get with ivreg. Can anybody explain why?
> 
> In particular when I run
> 
> ivreg Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if filtro1==1,
> robust cluster(clust)
> 
> I get an  F(  1,   615) =   11.13
>             Prob > F      =  0.0009
> 
> 
> While if I do
> 
>  ivreg2 Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if
> filtro1==1, robust cluster(clust)
> 
> I get an  F(  1,   614) =     1.60
>              Prob > F      =   0.2068
> 
> 
> I checked that this only occurs when the option "cluster" is included,
> otherwise the output is the same under both commands.
> 
> This is not the result of gmm (because I didn't specify that option),
> nor the result of any small sample correction.
> 
> If anybody with knowledge of ivreg2 can help me out why the output is
> different under these commands I would greatly appreciate it.
> 
> Robert
> 
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

*
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*   http://www.ats.ucla.edu/stat/stata/



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