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From |
Jessie C <jessiecoh@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: IVREG2 and Multi-way Clustering |

Date |
Sun, 29 Jan 2012 11:54:07 -0500 |

I have 2 questions about two-way clustering using ivreg2. 1. What would be the 1-way cluster equivalent of the following 2-way clustering? ivreg2 y x, cluster(z_1, z_2) I thought it would be a. ivreg2 y x, cluster(z_1) b. ivreg2 y x, cluster(z_2) c. ivreg2 y x, cluster(z) where egen z = group(z_1 z_2) and the two-way standard error on x would be the standard error in a + the standard error in b - the standard error in c or would it be sqrt(se(a)^2 + se(b)^2 - se(c)^2) Note. That is not the full model, but I thought would be illustrative to get at the main issue. 2. Does ivreg2 adjust standard errors in anyway if 1 of the clusters if small in number (e.g. 12 clusters in z_2)? Should there be any adjustment made or does there not need to be if z_1 is sufficiently large in size (e.g. 1000 clusters)? I would be very grateful for any help you could provide. * * 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/

**Follow-Ups**:**st: Re: IVREG2 and Multi-way Clustering***From:*Jessie C <jessiecoh@gmail.com>

**st: RE: IVREG2 and Multi-way Clustering***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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