st: RE: ivregress with2sls and clustered standard errors

[DE SOUZA Eric <eric.de_souza@coleurope.eu>]

Have you tried the Stata program written by Baum, Schaffer and Stillman: ivreg2 ?
-ssc describe ivreg2 -


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Averett, Susan L
Sent: 26 March 2011 21:08
To: statalist@hsphsun2.harvard.edu
Subject: st: ivregress with2sls and clustered standard errors

I am trying to run a model using ivregress with 2sls as my estimator. I have a data set of individuals who are clustered in various schools. I am using school fixed effects in my model but I am trying to cluster my standard errors on the school variable AND also obtain the overidentification tests from 

estat overid 

However, when I use the cluster command, I get an error:

robust tests of overidentifying restrictions after 2SLS
  estimation not available with cluster-robust standard errors

I do not get this same error if I use robust standard errors. What is the option if this error is received? Is is possible I do not need to cluster my standard errors?


Susan A
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