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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 11:48:23 -0500 (CDT)

On Tue, 2 Sep 2008, Schaffer, Mark E wrote:

Brian,


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

Mark,

We simply haven't worked out the details of the robust variants of the VCEs for the two-step estimators. Hardin (2002, Stata Journal) shows the general procedure to obtain the robust variance estimator for two-step models:

http://www.stata-journal.com/article.html?article=st0018


I'd imagine a similar approach would work for the cluster-robust version as well.

-- Brian Poi
-- bpoi@stata.com
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