Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Clustered robust standard errors in reg3


From   Kanika Mahajan <kanika26@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Clustered robust standard errors in reg3
Date   Wed, 22 Jun 2011 12:15:28 +0530

Dear Stata users,

I want to get clustered robust standard errors after application of
3sls. However, reg3 in stata does not allow me to do that. A previous
post in this regard can be found at:
http://statalist.1588530.n2.nabble.com/st-clustered-SE-for-reg3-td2322651.html
But the issue remains unresolved.

My model is:
Y1= aX1 + bX2 + cX3 + e1
Y2= dX1 + eX2 + fX3 + e2
where X1 and X2 are endogenous and are instrumented using Z1 and Z2. I
need to test the restriction a=d and b=e and hence the need to
estimate cross equation covariances in coefficients arises. Apart from
3sls, another way out could be 2sls and then using "suest" for
computing the cross equation co-variances. However, ivregress does not
compute scores which are a must for suest.

Any suggestions to solve the above problem will be very helpful.

Regards,
-- 
Kanika
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index