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Re: st: clustered SE for reg3


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.
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