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st: problem with ivreg2 with cluster option

From   "SHEHAJ Entala" <[email protected]>
To   undisclosed-recipients: ;
Subject   st: problem with ivreg2 with cluster option
Date   Wed, 23 Mar 2005 20:39:57 -0000


I am using ivreg2 with kernel based estimation with gmm for a panel of
50 firms over 6 year period. Also I am trying ivreg2 with cluster option
and gmm for the same panel, but the problem is that the F test for the
overall significance of coefficients in the second stage show that they
are not different from zero. While all other statistics concerning the
validity of instruments are OK. The same regression with kernel based
estimation instead of cluster is fine (in terms of all statistics
including the F test of overall significance in the second stage). I
will appreciate any suggestion about this problem.
Entela Shehaj

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