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Re: st: estat firststage after using vce(cluster id)


From   Roberto Liebscher <roberto.liebscher@ku.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: estat firststage after using vce(cluster id)
Date   Thu, 14 Feb 2013 09:45:13 +0100

I think in the case of clustered standard errors the iid assumption is violated. Hence the F statistic is not appropriate anymore.

I also found a general discussion about that here:

http://www.stata.com/statalist/archive/2005-12/msg00583.html

Kind regards,
Roberto

--
Roberto Liebscher
Catholic University of Eichstaett-Ingolstadt
Department of Business Administration
Chair of Banking and Finance
Auf der Schanz 49
D-85049 Ingolstadt
Germany

Am 14.02.2013 00:53, schrieb D-Ta:
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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