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st: RE: error while doing IV


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: error while doing IV
Date   Mon, 27 Sep 2010 23:28:55 +0100

Arka,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Arka Roy Chaudhuri
> Sent: 27 September 2010 06:52
> To: statalist@hsphsun2.harvard.edu
> Subject: st: error while doing IV
> 
> Hi,
>   I am having some problems in estimating a IV regression.It 
> would be great if somebody could please help me with my problem.
> 
> I have the following variables in my data set:districtid, 
> average residual gender wage gap in a district(avggap), 
> scaled district tariff(district_tariff_scaled), unscaled 
> district tariffs(district_tariff_unscaled), a set of district 
> dummies(_Idistricti*), a time dummy since I have two time 
> periods(time), district population(district_popn). I am 
> interested in looking at the effect of scaled district 
> tariffs on the average residual gender wage gap using the 
> unscaled district tariffs as instruments for district 
> tariffs. I run the following 3 regressions(I use the district 
> population as weights and cluster over districts to correct 
> for standard errors):-
> 
> 1)regress avggap district_tariff_scaled  time _Idistricti*
> [aweight=district_popn],cluster(districtid)
> In this regression I look at the structural equation i.e the 
> effect of scaled district tariffs on average gender wage gap. 
> I do not get any error in this case.
> 
> 2)regress avggap district_tariff_unscaled  time _Idistricti*
> [aweight=district_popn],cluster(districtid)
> In this regression I l look at the reduced form relationship 
> between unscaled tariffs and the average gender wage gap. I 
> do not get any error in this case.
> 
> 3)ivregress 2sls avggap (district_tariff_scaled
> =district_tariff_unscaled) time _Idistricti*
> [aweight=district_popn],cluster(districtid)
> This is the equation that I have problem estimating.I use the 
> unscaled tariffs as instruments for the scaled 
> tariffs.However Stata gives me the following error:
> 
> ivregress 2sls avggap (district_tariff_scaled
> =district_tariff_unscaled) time _Idistricti*
> [aweight=district_popn],cluster(districtid)
> (sum of wgt is   0.0000e+00)
> no observations
> r(2000);
> 
> Surprisingly if I estimate the third equation without 
> clustering over the districts Stata gives me results without 
> any error.I tried using the vce option instead of the cluster 
> option but I get the same error.
> I do not understand why clustering over districts does not 
> create any problem in the estimation of the first two 
> equations while it returns an error while I am estimating the 
> 3rd equation. Since I am using a difference in difference 
> approach it is essential that I cluster over district. I am 
> using Stata11.

You might want to try estimating your IV equation with -ivreg- (out of
date and undocumented in Stata 11, but still works) or -ivreg2-
(downloadable from SSC in the usual way).  This would probably tell you
if your problem is specific to your estimation or whether it's specific
to -ivregress-.

Cheers,
Mark

> 
> I will be really grateful if somebody could help me out with 
> this problem.Thanks
> 
> Regards,
> Arka
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