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st: clustered SE for reg3

From   Vera Troeger <>
Subject   st: clustered SE for reg3
Date   Fri, 13 Feb 2009 17:47:20 +0000


I am trying to program clustered SE for a 3 stage LS simultaneous equation model: reg3. reg3 dosn't offer a robust cluster option, so I tried to use the _robust programmers routine. it all works fine, except that apparently as with reg (simple OLS) one has to force the RMSE to be 1 before using the _robust option. Now reg3 doesn't have an mse1 option either as reg does... I found that in a single equation model (like OLS reg) one can avoid the mse1 option by replacing e(V) with e(V)/(e(rss)/e(df_r)). however that doesn't work for reg3 either since I have multiple equations and a VC matrix for all X of all equations but each equation of course has different RSS and df_r.
I cannot compute the scores either since this is a 3SLS model and not MLE...

any help would be highly appreciated.

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