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st: Re: ivreg2/xtivreg2 and two-way clustering syntax


From   Wafa Hakim Orman <wafa1024@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Re: ivreg2/xtivreg2 and two-way clustering syntax
Date   Mon, 30 Jul 2012 15:39:24 -0500

Hi everyone,

I'm using Stata 10.2 and trying to run a regression with two-way
clustered standard errors. I've run update ado, adoupdate, & all the
other update commands. Still, when I try two-way clustering,
Driscoll-Kraay standard errors, or any other such new option it throws
an error. Here is my output:


. ivreg2 charges quarter year unemployment , cluster(statefips qtryr)
cluster():  too many variables specified
r(103);


. ivreg2 charges quarter year unemployment , gmm2s cluster(statefips year)
cluster():  too many variables specified
r(103);

. xtivreg2 charges quarter year unemployment , fe gmm2s cluster(statefips year)
cluster():  too many variables specified
r(103);

. ivreg2 charges quarter year unemployment , bw(2) cluster(qtryr)
cannot use HAC kernel estimator with -cluster- option
r(198);

. ivreg2 charges quarter year unemployment , dkraay(1)
option dkraay() not allowed
r(198);


My dataset is a panel, with statefips as the panel ID & qtryr as the
time variable. What am I doing wrong? Am I missing something obvious
in the syntax?


I appreciate any help Statalisters can provide!

Thanks in advance,
Wafa.

--
"So be it."
                  --Kurt Vonnegut
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