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st: ivreg vs ivreg2, both with cluster

From   <[email protected]>
To   <[email protected]>
Subject   st: ivreg vs ivreg2, both with cluster
Date   Wed, 21 Jun 2006 13:39:11 +0100


I am estimating a pooled cross section with 26 states, 10 time
variables, and, many additional explanatory variables, of which one is
endogenous. Clustering at the state level is supposed to account for
serial autocorrelation of any kind.

Using ivreg2, which I prefer for its test statistics, I receive the
error message:
"number of clusters must be greater than instruments" (in principle fine
with me)

Using ivreg and the same model specification, however, carries out the
estimation without problems.

Does anybody know why this is the case ? How can I make ivreg2 work for
me without having to reduce the number of explanatory variables ?



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