Robert,
Which version of ivreg2 are you using? The latest is 2.0.06, and I
couldn't reproduce your problem using it with the auto dataset.
If updating doesn't solve your problem, then contact me off-list and
we'll see if we can trace what's happening.
Cheers,
Mark
Date sent: Wed, 18 May 2005 00:01:49 -0400
From: Robert Duval <[email protected]>
To: [email protected]
Subject: st: F-statistic on ivreg2 vs ivreg with clustering
Send reply to: [email protected]
> Dear all,
>
> When I run the ivreg2 command with the "robust cluster()" options
> (without the gmm option) I get a different Fstatistic than the one I
> get with ivreg. Can anybody explain why?
>
> In particular when I run
>
> ivreg Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if filtro1==1,
> robust cluster(clust)
>
> I get an F( 1, 615) = 11.13
> Prob > F = 0.0009
>
>
> While if I do
>
> ivreg2 Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if
> filtro1==1, robust cluster(clust)
>
> I get an F( 1, 614) = 1.60
> Prob > F = 0.2068
>
>
> I checked that this only occurs when the option "cluster" is included,
> otherwise the output is the same under both commands.
>
> This is not the result of gmm (because I didn't specify that option),
> nor the result of any small sample correction.
>
> If anybody with knowledge of ivreg2 can help me out why the output is
> different under these commands I would greatly appreciate it.
>
> Robert
>
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
*
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