RE: st: Re: test of the equality of coefficients in two models

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Sharon, Sascha,

It depends on whether Sharon wants to cluster on one or two variables.

-suest- lets you cluster on one variable, and the code Austin Nichols
posted last year in 

http://www.stata.com/statalist/archive/2009-11/msg01485.html

shows how to replicate this by stacking (with minor differences in the
SEs because of differences in dof adjustments).  -ivreg-, -ivreg2- and
-ivregress- don't produce scores so -suest- won't work but stacking
does.  All straightforward if Sharon wants to cluster on one variable.

But it looks like Sharon wants to cluster on two variables.  Now if one
variable is nested in the other, it's still easy - just cluster on the
"larger" one.  For example, if the data were on individuals and you
wanted to cluster on individual and household, then clustering on
household is enough (assuming there are no individuals who change
household).

If the two variables aren't nested, then you can still cluster on both
using 2-way clustering of Cameron-Gelbach-Miller/Thompson.  This is
supported in the latest version of -ivreg2-, and is discussed in the
-ivreg2- help file and in the Stata user group presentation by
Baum-Nichols-Schaffer.  The latter is available at
http://ideas.repec.org/p/boc/bost10/11.html.

I am pretty sure that the only thing you need to do to implement this is
to use Austin's code and just change the stacked estimation so that it
calls -ivreg2- with 2-way clustering, e.g.,

ivreg2 wage (hours=ten union) n, cl(idcode hours)

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Sascha Heller
> Sent: 17 August 2010 23:41
> To: statalist@hsphsun2.harvard.edu
> Cc: Sascha Heller
> Subject: Re: st: Re: test of the equality of coefficients in 
> two models
> 
> Okay, understood. cl(idcode hours) obviously won't work.
> 
> Just providing an idea: use reg3 (with an 2sls command) 
> instead of ivregress. You then might estimate a stacked model 
> with one equation for "male" and "female" each for the 
> endogenous explanatory variable where you should be able to 
> cluster for your specified variable in each equation. Testing 
> is then no problem anymore. I hope that help's.
> 
> Sascha
> 
> On 17 Aug 2010, at 15:26, xueliansharon wrote:
> 
> > Hi, Sascha,
> >
> > OK, take the stata example from the link as an example, if 
> what I want 
> > to replicate using the stacking process is:
> >
> > est clear
> > sysuse nlsw88, clear
> > reg wage hours if south
> > est sto south
> > reg wage hours if smsa
> > est sto smsa
> > suest south smsa, cluster(hours)
> >
> > How to realize clustering on "hours" in the stacking 
> process? just use 
> > "reg wage hours? n, cl(hours)" ? But I think we also need 
> to cluster 
> > on "idcode"
> > to make the stacking process equivalent to the -suest- command. So 
> > what should I do to use the stacking process to get the outcome of 
> > "suest south smsa, cluster(hours)"?
> >
> > Many thanks,
> > Sharon
> >
> >
> >
> >
> >
> >
> > Re: test of the equality of coefficients in two models
> > Aug 17, 2010; 04:07am - by 	 	 Sascha Heller
> > Maybe I don't understand your question exactly, but for the STATA 
> > example (given in the link), it work's fine when clustering for any 
> > other variable (hours etc.) and the SEs change.
> >
> > Does that answer your question? If not, please give further info.
> >
> > Sascha
> > --
> > View this message in context: 
> > 
> http://statalist.1588530.n2.nabble.com/test-of-the-equality-of-coeffic
> > ients-in-two-models-tp5427850p5432075.html
> > Sent from the Statalist mailing list archive at Nabble.com.
> >
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