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st: Quick doubt about the 2-way clustering option used in IV_GMM2s


From   Jordana Rodrigues Cunha <jordana.rodrigues@unibo.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Quick doubt about the 2-way clustering option used in IV_GMM2s
Date   Mon, 10 Jan 2011 09:28:29 +0000

Dear professors, 

I used the great GMM estimator with the 2-way clustering option in testing the endogeneity of my regressors and all the tests were excellent for my conclusions. 
But , when I am running the OLS regressions of the first stage, using the cgmreg routine to indicate my 2-way clustering, the F-statistic (explicitly required in the estout, scalars option) doesn't come out.
I would like to understand if it happens because there is no sense in using the F-statistic because I am assuming that the s.e are non independent once I am indicating the 2-way clustering? How could I test the regression significance?

Since now, thank you very much for your comments,
Jordana


Jordana Rodrigues Cunha
PhD. Candidate
University of Bologna
Department of Management
Via Capo di Lucca, 34, 1st floor
40126 – Bologna, ITALY
Fixed line:  0039 (051) 20 98 073
Fax: 0039 (051) 20 98 074
jordana.rodrigues@unibo.it
www.sa.unibo.it
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