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Re: st: RE: re: ivreg2, cluster vs. state fixed effects
I will check. Thank you Kit and Mark for your response!
On Thu, Feb 11, 2010 at 11:21 AM, Schaffer, Mark E
<[email protected]> wrote:
> Nirina,
>
> As Kit says, the new ivreg2 supports 2-level clustering. But do read
> the help file and/or the referenced papers (Cameron et. al and Thompson
> - full details in the references section of ivreg2 help) and make sure
> it does what you want and that you have the data to do it.
>
> In particular, the asymptotics for 2-level clustering requires that the
> numbers of clusters go off to infinity in both dimensions.
>
> Thus, in your case, you want the number of states to go off to infinity,
> and current practice seems to be that 50 is far enough along the way to
> infinity to get decent results.
>
> But you also need the number of years to go off to infinity. The papers
> cited above have some guidance on what this means in practice, i.e., how
> many years of data do you need in order to get decent results.
>
> HTH,
> Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Kit Baum
>> Sent: Thursday, February 11, 2010 1:21 PM
>> To: [email protected]
>> Subject: st: re: ivreg2, cluster vs. state fixed effects
>>
>> <>
>> Nirina said
>>
>> I am thinking of clustering the standard errors on state, so am I
>> right to just run the following?
>>
>> ivreg2 y (x1=z) x2, cluster (state)
>>
>> I tried to put under cluster state dummies but I realized that I can
>> only put one variable under cluster.
>>
>>
>> As detailed by Mark Schaffer's post, -ivreg2- from SSC now
>> supports two-way clustering, typically along unit and time dimensions.
>>
>>
>> Kit Baum | Boston College Economics & DIW Berlin |
>> http://ideas.repec.org/e/pba1.html
>> An Introduction to Stata
>> Programming | http://www.stata-press.com/books/isp.html
>> An Introduction to Modern Econometrics Using Stata |
>> http://www.stata-press.com/books/imeus.html
>>
>>
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>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
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> registered under charity number SC000278.
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