Re: st: RE: ivregress with2sls and clustered standard errors

["Averett, Susan L" <averetts@lafayette.edu>]

Yes, I've tried that. I receive a different error message...

Warning: estimated covariance matrix of moment conditions not of full rank.
         standard errors and model tests should be interpreted with caution.
Possible causes:
         singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.


I am also wanting to include school fixed effects in my model as well as cluster by school. Could this be the problem?
I do not get the message above when I drop the school fixed effects.


----- Original Message -----
From: "DE SOUZA Eric" <eric.de_souza@coleurope.eu>
To: statalist@hsphsun2.harvard.edu
Sent: Saturday, March 26, 2011 4:41:33 PM
Subject: st: RE: ivregress with2sls and clustered standard errors

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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