Brian,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Brian P. Poi
> Sent: Tuesday, September 02, 2008 4:50 PM
> To: [email protected]
> Subject: Re: st: RE: clustering option after ivprobit
>
> On Tue, 2 Sep 2008, Choudry T Shehzad wrote:
>
> > Thanks Nick:
> > In help file for ivprobit, they do ask for cluster variable
> but even
> > without that stata says "vcetype 'cluster' not allowed"
> >
> > ivprobit dependent x y l.z (zz = mz pz), vce(cluster) twostep first
> > vcetype 'cluster' not allowed r(198);
> >
> > ivprobit dependent x y l.z (zz = mz pz), vce(cluster
> country ) twostep
> > first vcetype 'cluster' not allowed r(198);
> >
> > Best regards,
> >
> > Shehzad
>
>
> The cluster-robust sandwich VCE is only allowed with the
> maximum likelihood estimator of -ivprobit-.
>
> You can obtain a bootstrap VCE that resamples clusters with
> the two-step estimator by typing
>
> . ivprobit ... , twostep vce(bootstrap, cluster(country))
Just out of curiosity - why isn't cluster-robust (or just robust, for
that matter) allowed after two-step? I've noticed this is also the case
for the related estimators that also have two-step versions, -heckman-
and -treatreg-.
--Mark
>
>
> -- Brian Poi
> -- [email protected]
>
>
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