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Re: st: Re: two-way clustering via ivreg2


From   Arka Roy Chaudhuri <gabuisi@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: two-way clustering via ivreg2
Date   Sat, 16 Oct 2010 17:49:20 -0700

Thanks a lot for the help.

Arka

On Sat, Oct 16, 2010 at 4:05 AM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> On Oct 16, 2010, at 2:33 AM, Arka wrote:
>
>> I need to implement two-way clustering in my work. I run OLS
>> regressions so I thought the ado file cgmreg.ado might help. But the
>> link at http://www.econ.ucdavis.edu/faculty/dlmiller/statafiles/
>> containing cgmreg.ado does not work. I was wondering if ivreg2 can be
>> used to implement twoway clustering in OLS regressions.If ivreg can
>> indeed do so can anybody please help me with the relevant command in
>> ivreg2?I have Stata11.
>
> webuse grunfeld, clear
> ivreg2 invest mvalue kstock, clu(company time)
>
> Kit
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
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