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st: ivreg2 missing SE's when using two cluster variables


From   Max.Livingston@ny.frb.org
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 missing SE's when using two cluster variables
Date   Mon, 17 Sep 2012 15:02:40 -0400

Hello,

I'm performing some analyses using -ivreg2- to perform OLS with two 
cluster variables. I also have a relatively small sample (around 200 obs) 
so I'm using the small option. I found that in some of my models, there is 

no std error. While this is not incredibly surprising given the small n 
and multiple clusters, I'm a little confused as to why I experience this 
problem in some models and not others, and what potential solutions may 
exist. The help file explains that if the small option is used with 
clustering, ivreg2 makes the following adjustment: qc = 
(N-1)/(N-K)*M/(M-1), where M is the minimum # of clusters from the two 
cluster variables. Yet, when I run the same regression with either one of 
the clusters, ivreg2 is able to calculate the std. error. Further details: 

N=251, cluster1 has 119 clusters, cluster2 has 60. This is not a case of 
singleton dummies, as there is only one independent variable.

Any advice you may have would be greatly appreciated.

Thanks,
Max



Max Livingston
Research Analyst
Microeconomic Studies
Research and Statistics Group
Federal Reserve Bank of New York
(212) 720-7894




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