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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: ivreg2/xtivreg2 and two-way clustering syntax
Date   Mon, 30 Jul 2012 23:32:58 +0100

Wafa,

You might have multiple versions of ivreg2 or xtivreg2 lurking on your
machine.  When you say

which ivreg2, all

and

which xtivreg2, all

what do you get?

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Wafa Hakim Orman
> Sent: 30 July 2012 21:39
> To: statalist
> Subject: st: Re: ivreg2/xtivreg2 and two-way clustering syntax
> 
> 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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> *   http://www.stata.com/support/statalist/faq
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