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st: ivreg2, xtivreg2 and FE IV.

From   Arjan Non <>
Subject   st: ivreg2, xtivreg2 and FE IV.
Date   Thu, 22 Apr 2010 09:41:27 +0200

Dear Statalist

My aim is to estimate an instrumental regression in a fixed effects
panel model, where the standard errors should be corrected for
clustering on the fixed effects level. The standard xtivreg command
does not support cluster-robust standard errors. The command ivreg2
does, but this command produces weird results, in the sense that the
coefficient estimates differ a lot from the estimates produced by
ivreg and manual 2sls. Therefore, I decided to install the most recent
version, but now ivreg2 gives an error, saying that the option fe is
not allowed. Should I install xtivreg2 command? Does anyone know how
to solve this problem? I currently use Stata 11.

Thanks in advance

Arjan Non,
Phd Erasmus university Rotterdam
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