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st: ivreg2


From   Daniel Simon <dhs29@cornell.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2
Date   Tue, 15 Nov 2005 17:54:21 -0500

Hi - I have a couple of questions about ivreg2 and associated endogeneity/exogeneity tests.

1. I want to assess whether a particular variable, xstar, is endogenous, so I run:
ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar).
the C-statistic allows me to assess endogeity of xstar. Is that correct? This should give me the equivalent results as doing
ivreg y (xstar=instrument1 instrument2) other variables, followed by
ivendog star.
is that correct?

2. If so, then I am not sure why I am having the following problem.

I run
ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar) cluster(id).

In other words, I have simply added the cluster option. When I do so, stata tells me:
Collinearity/identification problems in restricted equation: C statistic not calculated for orthog option.

I only have this problem when I include the cluster option on ivreg2. what am I doing wrong? thanks. Daniel




Daniel Simon
Assistant Professor
Department of Applied Economics and Management
Cornell University
(607) 255-1626
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