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st: intreg with fixed effects and clustered standard errors


From   Pamela Campa <pamela.campa@iies.su.se>
To   statalist@hsphsun2.harvard.edu
Subject   st: intreg with fixed effects and clustered standard errors
Date   Wed, 29 Feb 2012 17:03:34 +0100

Hi,

I'm trying to estimate a regression model with an interval-coded dependent variable. I have plant-level data for several years, and I regress an interval coded dependent variable on some continuous X's, industry and county fixed effects, and state by year shocks.

I cluster the standard errors by plant. I use the command intreg2. The Stata output gives standard errors for all the variables I put in, but it does not show the Wald chi(2) statistic. I did try to remove plants that appear only once in the dataset, counties for which there is only one plant and industries for which there is only one plant, but that does not fix the problem.

Could anyone please suggest a way to deal with this?I'm not necessarily interested in the Wald chi(2) , but I'm afraid that the fact that it is missing signals some misspecification in my model.

Moreover, my pseudo likelihood is as low as -590000. Is that worrisome?

Thanks!

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