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st: How does clustering in the first-stage impact IV estimates?


From   "Rogger, Daniel" <d.rogger@ucl.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: How does clustering in the first-stage impact IV estimates?
Date   Wed, 12 Jun 2013 10:17:23 +0000

Dear Statalisters,

I am estimating a two-stage least squares instrumental variables regression using ivregress and choosing the 2sls option.  For much of my analysis I am clustering at one level, say by clustervar X.  If I believe I should cluster my first stage regression by another level, say clustervar Y, how should I proceed?  Does how I cluster in the first stage have any impact on my second stage results?

With best wishes,

Dan







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