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st: ivreg2, gmm cluster

From   "Eiji Mangyo" <[email protected]>
To   <[email protected]>
Subject   st: ivreg2, gmm cluster
Date   Sat, 11 Oct 2003 06:19:47 -0400

Dear Statalist,

I have a question on the cluster option in ivreg2, gmm. My understanding of
the cluster option is to make standard errors robust to arbitrary
intra-cluster correlation and that the cluster option does not change
coefficient estimates. Does this apply to GMM estimation (ivreg2 with the
gmm option)? I got different coefficient estimates with and without the
cluster option in the command ivreg2, gmm.

Thank you very much for your help.

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