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st: ivreg2


From   [email protected]
To   [email protected]
Subject   st: ivreg2
Date   Wed, 01 Oct 2003 14:41:39 +0200 (CEST)

Dear all,

I have a  panel household data set. I am using the command ivreg2
which allows one to estimate instrumental variables models using
GMM. I would like to obtain standard errors that are efficient in
presence of arbitrary conditional and unconditional
heteroskedasticity.

I estimated the following model : 	

	ivreg2 $Y($X1 $X2 $Z2 year = $D_X1 $D_X2 $B_X1 year), gmm
cluster (indiv2) ffirst

because I assumed that the disturbance covariance matrix had a
clustering form (correlation between observations from the same
household). With this specification, the test of overidentifying
restriction is rejected and the estimated coefficients are quite
differents from that one obtains with the following estimation :

	ivreg2 $Y($X1 $X2 $Z2 year = $D_X1 $D_X2 $B_X1 year), gmm
robust ffirst

In addition, with this last estimation, the test of overidentifying
restriction is not rejected.

I do not understand well what is going on. Is it a problem of
conditional  heteroskedasticity which explains that the disgnostic
tests, whith the latter estimate, are not valid...? Why the
results (coefficients estimated,diagnostic tests) are so differents?

Thanks a lot for your help,
B´┐Żatrice d'Hombres

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