Re: st: Clustered robust standard errors in reg3

[John Antonakis <John.Antonakis@unil.ch>]

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,
*
*   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/