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st: test for clustering in instrumental variables settings


From   "Sergio I Prada" <sprada1@umbc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: test for clustering in instrumental variables settings
Date   Wed, 24 Feb 2010 17:39:15 -0500 (EST)

Dear users:

I am trying to come up with a good way to test whether I need to use SEs
clustered in my estimation. But I could not.
I have a binary outcome and a binary treatment variable. My treatment
variable is endogenous and I have two good instruments. The model includes
covariates.
The problem is that my treatment variable is whether treatment at certain
type of hospital, and my clusters are hospitals. So with no variation at
the cluster level on the endogenous variable I cannot use tricks like
adding averages or deviations of the endogenous variable (as recommended
in the multilevel literature).
I am using instead recursive biprobit models, and of course the problem is
that the significance of my results change with and without SEs clustered
at hospital level.
I have 69 clusters, and they vary a lot by size (from 2 patients in one
hospital to 122 in other)
Are any of you aware of a way to test whether I have to adjust SEs at the
cluster
level.

-- 
Sergio

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