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From |
Giovanni Pica <[email protected]> |

To |
[email protected] |

Subject |
Re: st: cluster option of ivreg2 |

Date |
Fri, 6 May 2005 11:39:05 +0100 |

It now works, thanks a lot Mark! giovanni Quoting Mark Schaffer <[email protected]>: > Giovanni, > > Quoting Giovanni Pica <[email protected]>: > > > Mark, > > > > thanks for your quick reply. I updated ivreg2 yesterday and have the > > "ivreg2 1.0.27 02Nov2002" version. Is this the latest? > > Something has gone wrong with your update. I just tried reinstalling it > from SSC/RePEC, and the version that was installed is 2.0.06 26Jul2004. > Did > you perhaps install an old Stata Journal version? > > Try > > findit ivreg2 > > and then install the version from http://fmwww.bc.edu/RePEc/bocode/i > > Cheers, > Mark > > > Let me just add that the error message "matrix not symmetric" > > appears not > > only with the cluster option but also with the robust and gmm > > options. > > Everything works fine with no options. > > > > Thanks again, > > giovanni > > > > > > > > > > > > > > > > Quoting Mark Schaffer <[email protected]>: > > > > > Giovanni, > > > > > > Quoting Giovanni Pica <[email protected]>: > > > > > > > Dear Stata Users, > > > > > > > > I have a problem with the cluster option of ivreg2. > > > > > > > > I am running the following regression: > > > > > > > > ivreg2 logw X P (T T*P = Z That*P), cluster(personid) > > > > > > > > this is using IV in a difference in difference regression where > > T is > > > the > > > > treatment group, P is post-reform dummy and T*P is the > > interaction > > > > term of interest. > > > > The use of That*P as an instrument, where That is obtained from > > a fist > > > > stage regression of T on the exogenous regressors (X and P) and > > the > > > > instruments Z, has been already suggested in Stata list in > > another > > > context > > > > (Mark Schaffer in reply to Steve Morris): > > > > http://www.stata.com/statalist/archive/2003-11/msg00795.html > > > > > > > > The cluster(personid) is required because it's a panel of > > individual > > > > wages. > > > > > > > > All this works when I use the ivreg command, when I use the > > ivreg2 > > > > command it says "matrix not symmetric". > > > > > > Have you updated your ivreg2 so that it's the latest available? > > > > > > There was a bug in earlier versions that resulted from Stata's > > matrix > > > mulitiplication. The matrix inversion command requires a > > symmetric > > > matrix, > > > and very occasionally (I think because of numerical issues) ivreg2 > > would > > > multiply a series of matrices and end up with a matrix that should > > have > > > been > > > symmetric but wasn't. I am pretty sure we fixed all the instances > > of > > > where > > > this could arise in ivreg2, but maybe we missed one. > > > > > > --Mark > > > > > > > Is there something wrong with the use of IV in the > > diff-in-diff > > > > framework or the difference between ivreg and ivreg2 is due to > > the the > > > way > > > > the commands handles the cluster option? > > > > > > > > Best, > > > > Giovanni > > > > > > > > > > > > > > > > > > > > * > > > > * For searches and help try: > > > > * http://www.stata.com/support/faqs/res/findit.html > > > > * http://www.stata.com/support/statalist/faq > > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > > > > > > > > Prof. Mark Schaffer > > > Director, CERT > > > Department of Economics > > > School of Management & Languages > > > Heriot-Watt University, Edinburgh EH14 4AS > > > tel +44-131-451-3494 / fax +44-131-451-3294 > > > email: [email protected] > > > web: http://www.sml.hw.ac.uk/ecomes > > > > > > > > ------------------------------------------------------------------- > > > DISCLAIMER > > > > > > This message is subject to http://www.hw.ac.uk/disclaim.htm > > > > > > > > ------------------------------------------------------------------- > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/support/faqs/res/findit.html > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > Prof. Mark Schaffer > Director, CERT > Department of Economics > School of Management & Languages > Heriot-Watt University, Edinburgh EH14 4AS > tel +44-131-451-3494 / fax +44-131-451-3294 > email: [email protected] > web: http://www.sml.hw.ac.uk/ecomes > > ------------------------------------------------------------------- > DISCLAIMER > > This message is subject to http://www.hw.ac.uk/disclaim.htm > > ------------------------------------------------------------------- > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: cluster option of ivreg2***From:*Giovanni Pica <[email protected]>

**Re: st: cluster option of ivreg2***From:*Mark Schaffer <[email protected]>

**Re: st: cluster option of ivreg2***From:*Giovanni Pica <[email protected]>

**Re: st: cluster option of ivreg2***From:*Mark Schaffer <[email protected]>

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