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st: F-statistic on ivreg2 with Cluster option


From   Juan Jose <unicojm@gmail.com>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: F-statistic on ivreg2 with Cluster option
Date   Wed, 20 Oct 2010 13:51:21 -0400

Hi all,
I have a specific question related to -ivreg2- with/without cluster
option since the instrument is at neighborhood level. The issue is
that F-stat with cluster option is very different than the F-stat
without cluster option. The instrument it is still statistically
significant, but at a lower significance level (due to standard errors
are higher). For example, p-value changes from 0.063 to 0.099.

The two regressions I am running are the following (being the only
difference cluster option):
(1) ivreg2 Y X2 - X14 (X1 = Z1), first robust
(2) ivreg2 Y X2 - X14 (X1 = Z1), first robust cluster(neighbor)

Regression (1) has the following F-stat (being 461 the number of observations):
F test of excluded instruments:
  F(  1,   445) =    36.77
  Prob > F      =   0.0000

Regression (2) has the following F-stat (being 74 the number of cluster):
F test of excluded instruments:
  F(  1,    73) =     4.70
  Prob > F      =   0.0334

Given this different results about the F test of excluded instruments,
which one should I use? Seems to me that I should that one with
degrees of freedom related to the number of observations and not that
one related to the number of cluster groups, but I might be wrong.
Comments and suggestions are more than welcome!

Regards,
Juan Jose.
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