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Re: st: RE: clustering option after ivprobit


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: clustering option after ivprobit
Date   Tue, 2 Sep 2008 10:50:11 -0500 (CDT)

On Tue, 2 Sep 2008, Choudry T Shehzad wrote:

Thanks Nick:
In help file for ivprobit, they do ask for cluster variable but even
without that stata says "vcetype 'cluster' not allowed"

ivprobit dependent x y l.z (zz = mz pz), vce(cluster) twostep first
vcetype 'cluster' not allowed
r(198);

ivprobit dependent x y l.z (zz = mz pz), vce(cluster country ) twostep
first
vcetype 'cluster' not allowed
r(198);

Best regards,

Shehzad

The cluster-robust sandwich VCE is only allowed with the maximum likelihood estimator of -ivprobit-.

You can obtain a bootstrap VCE that resamples clusters with the two-step estimator by typing

. ivprobit ... , twostep vce(bootstrap, cluster(country))


-- Brian Poi
-- bpoi@stata.com


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