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Re: st: Clustered robust standard errors in reg3


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustered robust standard errors in reg3
Date   Wed, 22 Jun 2011 15:53:27 +0200

Hi:

Try the user written command -cmp- (by Roodman) from SSC; it allows for robust SEs.

HTH,
John.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 22.06.2011 08:45, Kanika Mahajan wrote:
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,
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