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Re: st: Clustered robust standard errors in reg3


From   Kanika Mahajan <kanika26@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustered robust standard errors in reg3
Date   Wed, 22 Jun 2011 21:17:44 +0530

Hi John,

Thanks a lot. This does seem to work fine. Although the only
restriction with cmp is that it does not allow system estimation. It
gives me 2sls estimates, with standard errors corrected for clustering
and also cross-equation co-variances.

Thanks and regards,
Kanika

On 6/22/11, John Antonakis <John.Antonakis@unil.ch> wrote:
> 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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-- 
Kanika
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