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Re: st: cluster robust SE options in 2SLS


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cluster robust SE options in 2SLS
Date   Mon, 23 Mar 2009 09:12:54 -0500 (CDT)


On Mon, 23 Mar 2009, Shang E. Ha wrote:

Thank you. But my question was why these two commands produce different standard errors. In Stata 10, "ivregress 2sls Y (Z=X), vce(cluster unit)" simply replaces
"ivreg Y (Z=X), robust cluster(unit)", which used to be standard in Stata 9.

Best,
Shang


Shang,

To replicate -ivreg-, you need to use the 'small' option with -ivregress 2sls-.

   . sysuse auto
   . ivreg turn (trunk = mpg), robust cluster(rep78)
   . ivregress 2sls turn (trunk = mpg), vce(cluster rep78)
   . ivregress 2sls turn (trunk = mpg), vce(cluster rep78) small


  -- Brian Poi
  -- bpoi@stata.com

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