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st: how to cluster with ivprobit with two-step option?
I am trying to run a heckman selection model with potentially endogenous regressors in both the selection and outcome equations. I used ivprobit in the first stage, and need to use the cluster option because my data are from a household survey and some of the respondents come from the same household. This means I cannot use the twostep option with ivprobit as cluster is not allowed. But as I have more than one potentially endogenous regressor and therefore several instruments I find that the model is not converging with the MLE default - I have been pressing break after a few thousand iterations. I've been unable to find a user-written programme that allows the cluster option with twostep. I would very much appreciate any suggestions as to how I can get round this problem (I'm using STATA 9), for example, would I be able to alter the code in the ivprob programme to allow me to do this? Or is there a statistical reason why it's not already built in to the ivprobit, twostep com
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