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st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).


From   "Danny Cohen-Zada" <danoran@bgu.ac.il>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).
Date   Thu, 28 Feb 2008 15:09:20 +0200

I will try to edit my question to be clearer.


Suppose that i estimate the following iv model with the cluster option.

ivreg2 y1 x1 x2 (y2 = z1 ), ffirst cluster (x3)


I tested that my instrument is weak (using the clustered f-statistic) and found that my instrument is weak.

Then i run the conditional likelihood ratio test

condivreg y1 x1 x2 (y2= z1)

This command does not have the cluster option.

Supose that i find that the p-value of this test is 0.000 . Can i trust this result even when i use clustered standard errors in my ivreg estimation.

Thanks

Danny
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