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Re: st: RE: re: ivreg2, cluster vs. state fixed effects


From   Nirina F <fstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: re: ivreg2, cluster vs. state fixed effects
Date   Thu, 11 Feb 2010 11:54:22 -0500

I will check. Thank you Kit and Mark for your response!

On Thu, Feb 11, 2010 at 11:21 AM, Schaffer, Mark E
<M.E.Schaffer@hw.ac.uk> wrote:
> Nirina,
>
> As Kit says, the new ivreg2 supports 2-level clustering.  But do read
> the help file and/or the referenced papers (Cameron et. al and Thompson
> - full details in the references section of ivreg2 help) and make sure
> it does what you want and that you have the data to do it.
>
> In particular, the asymptotics for 2-level clustering requires that the
> numbers of clusters go off to infinity in both dimensions.
>
> Thus, in your case, you want the number of states to go off to infinity,
> and current practice seems to be that 50 is far enough along the way to
> infinity to get decent results.
>
> But you also need the number of years to go off to infinity.  The papers
> cited above have some guidance on what this means in practice, i.e., how
> many years of data do you need in order to get decent results.
>
> HTH,
> Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
>> Sent: Thursday, February 11, 2010 1:21 PM
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: re: ivreg2, cluster vs. state fixed effects
>>
>> <>
>> Nirina said
>>
>> I am thinking of clustering the standard errors on state, so am I
>> right to just run the following?
>>
>> ivreg2 y (x1=z) x2, cluster (state)
>>
>> I tried to put under cluster state dummies but  I realized that I can
>> only put one variable under cluster.
>>
>>
>> As detailed by Mark Schaffer's post, -ivreg2- from SSC now
>> supports two-way clustering, typically along unit and time dimensions.
>>
>>
>> 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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>
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