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

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: IVREG2 and Multi-way Clustering |

Date |
Sun, 29 Jan 2012 16:42:08 -0500 |

Mark, Thank you very much for your response and for taking the time to help out. I greatly appreciate it. 1. Your example makes sense of the 2 X 2. z_1 has 2 clusters. z_2 has 2 clusters. The union of z_1 and z_2 is 4 clusters but also 4 observations. I don't quite understand then the 2-way clustering formula in terms of 1-way clusters. Cameron, Gelbach, and Miller say: 1. OLS regression of y on X with variance matrix estimate computed using clustering on g in the set of {1, 2, ...G}; 2. OLS regression of y on X with variance matrix estimate computed using clustering on h in the set of {1, 2, ...H}; 3. OLS regression of y on X with variance matrix estimate computed using clustering on (g, h) in the set of {(1, 1), ..., (G, H)}; Given these three components, V[beta] is computed as the sum of the ?first and second components, minus the third component. I thought that would correspond with: i. reg y x, cluster(g) ii. reg y x, cluster(h) iii. reg y x, cluster(i) where egen i = group(g h) and the standard error is se(i) + se(ii) - se(iii) or sqrt(se(i)^2 + se(ii)^2 - se(iii)^2) I tried an example in Stata and it worked out using the sqrt formula. Not sure if that's just a coincidence. 2. If I'm understanding correctly, the correction to ivreg2 is an adjustment based on finite samples? I am wondering whether you have any response to using the t-statistic of G-L as suggested in: http://www.stata.com/meeting/mexico11/materials/cameron.pdf Section 4, slide 17 Thank you so much for everything!! On Sun, Jan 29, 2012 at 11:54 AM, Jessie C <jessiecoh@gmail.com> wrote: > 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. > * * 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: Re: IVREG2 and Multi-way Clustering***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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

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