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st: re: cluster robust SE options in 2SLS


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: cluster robust SE options in 2SLS
Date   Mon, 23 Mar 2009 11:00:21 -0400

<>	
Shang said

Can anyone look up the difference between these two standard error options; for
some reason they are producing slightly different standard errors.

  ivregress 2sls Y (Z = X), vce(cluster unit)

  ivreg Y (Z = X), robust cluster(unit)



They do not if you express both as t-stats:

 ivreg price (mpg=headroom trunk), robust cluster(rep78)
 ivregress 2sls price (mpg=headroom trunk), vce(cluster rep78) small
 ivreg2 price (mpg=headroom trunk), robust cluster(rep78) small

produce identical SEs and t-stats.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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