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st: estat firststage after using vce(cluster id)


From   D-Ta <altruist81@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: estat firststage after using vce(cluster id)
Date   Thu, 14 Feb 2013 00:53:11 +0100

Dear statalisters,

I am using the -ivregress- command with clustered standard errors in the following form:

ivregress 2sls y x1 x2  (t=z ) if adult==1, first vce(cluster id)

I then use -estat firststage- where I would like to save the F-stat of the first stage by -local fstat `r(mineig)'-

The latter works, as long as I dont use clustered standard errors in the regression, as soon as I do use them, there is no F-stat provided by the -estat firststage- .

Can someone explain me why and if there is a way to get the F-stat despite clustered standard errors?

Many thanks,
Darjusch








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