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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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