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?