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| From | DE SOUZA Eric <eric.de_souza@coleurope.eu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | RE: st: ivregress with2sls and clustered standard errors |
| Date | Sat, 26 Mar 2011 22:34:43 +0100 |
If Susan partials out the school dummies this would get rid of the dimensionality problem 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 Stas Kolenikov Sent: 26 March 2011 22:29 To: statalist@hsphsun2.harvard.edu Subject: Re: st: ivregress with2sls and clustered standard errors Yes, that's the aspect I mentioned first: you can either do clustered standard errors/GMM weight matrix, or school fixed effect dummies. On Sat, Mar 26, 2011 at 4:22 PM, Averett, Susan L <averetts@lafayette.edu> wrote: > I didn't have any luck with the wmatrix option. In that case, I actually am told that I have no observations. Could this be because I am using school fixed effects as well as trying to cluster on schools? > > Susan Averett > ----- Original Message ----- > From: "Stas Kolenikov" <skolenik@gmail.com> > To: statalist@hsphsun2.harvard.edu > Sent: Saturday, March 26, 2011 4:35:21 PM > Subject: Re: st: ivregress with2sls and clustered standard errors > > Susan Averett is working with education data estimating an > instrumental variable model with standard errors clustered at the > school level, and is looking for ways to conduct overidentification > tests. > > On Sat, Mar 26, 2011 at 3:08 PM, Averett, Susan L > <averetts@lafayette.edu> wrote: >> 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 > > If you used fixed effect dummies for schools, then you would have more > regressors than you have clusters, which should've triggered an error > message somewhere. > >> 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. > > Apparently, the way -overid- is currently coded, it does not even try > to compute the overidentification test with clustered standard errors. > Either it was too difficult to code, or, more likely, there was (and > in all likelihood, still no) solid theory regarding overid tests with > clustered data. > >> What is the option if this error is received? Is is possible I do not >> need to cluster my standard errors? > > I see three ways to get out of this. > > 1. At a descriptive level, you can compare the standard errors with > and without clustering (-robust- only). If they are not drastically > different (indicating that the schools are rather alike, and student > homogeneity within schools does not affect your results much), then > you can probably use the test without clustering, although of course > you would need to describe everything in detail to convince the > readers of your paper. > > 2. You can reverse engineer -overid-, figure how this test is > obtained, and compute it by hand. > > 3. You will get the overidentification test from -gmm- (assuming you > are using Stata 11 which you did not state). See examples in the > manual as to how run the analogue of -ivregress-; you would need to > specify the -wmatrix(cluster school) to obtain both estimates that are > efficient under clustering, and the overid test (using -estat > overid-). > > -- > Stas Kolenikov, also found at http://stas.kolenikov.name Small print: > I use this email account for mailing lists only. > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/