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Re: st: RE: error while doing IV


From   Arka Roy Chaudhuri <gabuisi@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: error while doing IV
Date   Mon, 27 Sep 2010 17:11:30 -0700

Hi,

 Mark thanks a lot for your help.ivreg and ivreg2 works fine with my
data. However the puzzling thing is that I get different estimates of
the standard errors under ivreg and ivreg2.Could you please point out
the possible source of this difference?Thanks

Regards,
Arka

On Mon, Sep 27, 2010 at 3:28 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
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>

*
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