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RE: st: RE: clustering option after ivprobit


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: clustering option after ivprobit
Date   Tue, 2 Sep 2008 17:10:44 +0100

Brian,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Brian P. Poi
> Sent: Tuesday, September 02, 2008 4:50 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: clustering option after ivprobit
> 
> 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))

Just out of curiosity - why isn't cluster-robust (or just robust, for
that matter) allowed after two-step?  I've noticed this is also the case
for the related estimators that also have two-step versions, -heckman-
and -treatreg-.

--Mark

> 
> 
>    -- Brian Poi
>    -- bpoi@stata.com
> 
> 
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