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Re: st: test for clustering in instrumental variables settings


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: test for clustering in instrumental variables settings
Date   Thu, 25 Feb 2010 18:22:26 -0600

>
> > In a somewhat related problem of testing for heteroskedasticity in
> > linear regression, econometricians use White's information matrix test
> > (-estat imtest- after -regress-). In all likelihood, it can
> > be generalized to the clustered data situation, but I am not aware of
> > whether that was done or not.
>
> Gabor Kezdi has done it.  Here's one version of his paper:
>
> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=596988
>
> I had a go at implementing it (with Austin Nichols) in Stata.  We have a
> working beta version (somewhere...).
>

I am certainly glad to hear about both pieces of news!

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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