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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: clustered SE for reg3 |

Date |
Fri, 13 Feb 2009 14:40:30 -0600 |

Given the heavily matrix-oriented character of the problem, you might want to program it up in Mata if you have the formulas handy. Of course -mataccum- does wonders at times -- James Hardin's explanation of Murphy-Topel standard errors using straight Stata was wonderful. For what I understand, the scores should be products of residuals times instruments. May be you can produce these and inject them into -_robust-. As with many "obviously good" extensions not available in Stata, you would need to ask yourself a question, "Are there any conceptual limitations to this technique? May be there is something odd about it, so Stata folks have given it a thought and decided it would not be appropriate to code it since the results are going to be misleading". That's what the issue is with many "obvious" things that turn out to be straight wrong. I don't see why -cluster- option should be wrong for -reg3- though. May be you can fool -ivreg2- or -xtivreg2- into your data structure? I am just thinking aloud here. On 2/13/09, Vera Troeger <vtroe@essex.ac.uk> wrote: > I am trying to program clustered SE for a 3 stage LS simultaneous equation > model: reg3. > reg3 dosn't offer a robust cluster option, so I tried to use the _robust > programmers routine. > it all works fine, except that apparently as with reg (simple OLS) one > has to force the RMSE to be 1 before using the _robust option. Now reg3 > doesn't have an mse1 option either as reg does... > I found that in a single equation model (like OLS reg) one can avoid the > mse1 option by replacing e(V) with e(V)/(e(rss)/e(df_r)). however that > doesn't work for reg3 either since I have multiple equations and a VC matrix > for all X of all equations but each equation of course has different RSS and > df_r. > I cannot compute the scores either since this is a 3SLS model and not > MLE... -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: clustered SE for reg3***From:*Vera Troeger <vtroe@essex.ac.uk>

**Re: st: clustered SE for reg3***From:*Vera Troeger <vtroe@essex.ac.uk>

**References**:**st: clustered SE for reg3***From:*Vera Troeger <vtroe@essex.ac.uk>

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