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R: re:st: R: RE: Quick doubt about the 2-way clustering option used in
From
Jordana Rodrigues Cunha <[email protected]>
To
"[email protected]" <[email protected]>
Subject
R: re:st: R: RE: Quick doubt about the 2-way clustering option used in
Date
Mon, 10 Jan 2011 14:10:37 +0000
Dear professors Kit, Mark and Judson ,
I thank you very much for your kind answers, now everything is working perfectly,
-ivreg2 rocks!!
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
[email protected]
www.sa.unibo.it
________________________________________
Inizio: [email protected] [[email protected]] per conto di Christopher Baum [[email protected]]
Inviato: lunedì 10 gennaio 2011 14.48
Fine: [email protected]
Oggetto: re:st: R: RE: Quick doubt about the 2-way clustering option used in
<>
I didn't explain right, sorry me. The problem is the second stage regression.
I am using -ivreg2-for the GMM estimation and in the first-stage F-stat is not missing like this:
. ivreg2 y t p c d (x w = h l m n o ) if sampleCM==1, gmm2s endog (x w) cluster (id deal )
2-Step GMM estimation
---------------------
Estimates efficient for arbitrary heteroskedasticity and clustering on id and deal
Statistics robust to heteroskedasticity and clustering on id and deal
Number of clusters (id) = 2903 Number of obs = 8194
Number of clusters (deal) = 6512 F( 51, 2902) = 1.90
Prob > F = 0.0001
Total (centered) SS = 84.6613152 Centered R2 = -0.3689
Total (uncentered) SS = 85.85567541 Uncentered R2 = -0.3499
Residual SS = 115.8950279 Root MSE = .1189
All the tests show that my regressors are not endogenous and that my instruments are valid.
And so, I back to my OLS regression results that had produced good estimations (and unbiased too).
You can use ivreg2 to estimate OLS models with 2-way clustering. Just remove the parens and put in x,w as exogenous variables, and drop the excluded instruments.
Kit
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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