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st: xtivreg2, error 198


From   Simon Lüchinger <sluechinger@iew.unizh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2, error 198
Date   Wed, 24 May 2006 16:41:31 +0200

Dear all,

I have an unbalanced panel data set at the individual level and would like to run fixed-effect models with the dependent variable at the individual level and an aggregate variable (per region and year) as an explanatory variable. Further, I would like to instrument the aggregate variable and adjust the standard errors for possible clustering within region per year (region*year). Without instrumenting the aggregate variable, everything works fine with areg and the cluster option. However, using xtivreg2 with the cluster option for the 2SLS regressions, I get the following error message: "cluster option not supported if a panel spans more than one cluster r(198)". Any suggestions whats wrong and how I can get around this problem?

Many thanks in advance

Simon

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