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Re: st: ivreg2, gmm cluster

From   Mark Schaffer <[email protected]>
To   [email protected], Eiji Mangyo <[email protected]>
Subject   Re: st: ivreg2, gmm cluster
Date   Sun, 12 Oct 2003 23:53:39 +0100 (BST)


Quoting Eiji Mangyo <[email protected]>:

> 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.

That's because the -gmm- option implements "2-step feasible efficient 
gmm".  The coefficient estimates with this option are efficient in the 
presence of arbitrary intra-cluster correlation, whereas the usual IV 
coefficients are not.


> Thank you very much for your help.
> Eiji
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]


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