Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Sun, 29 Jan 2012 22:21:47 -0000 |

Jessie, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jessie C > Sent: 29 January 2012 21:42 > To: statalist@hsphsun2.harvard.edu > Subject: st: Re: IVREG2 and Multi-way Clustering > > 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. A coincidence, I think. To do it properly in the K-regressor case you need to work with the meat of the cluster-robust sandwich formulation. In the slides you point to below, see slides 10 and 22. The meat of the sandwich in the 2-way cluster case is B_hat on slide 22. > 2. If I'm understanding correctly, the correction to ivreg2 > is an adjustment based on finite samples? The finite-sample adjustment we use in -ivreg2- is one of those recommended by Cameron-Gelbach-Miller; see their paper. > 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 No, sorry. --Mark > > 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 * * 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/

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

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

- Prev by Date:
**st: Re: IVREG2 and Multi-way Clustering** - Next by Date:
**st: Re: IVREG2 and Multi-way Clustering** - Previous by thread:
**st: Re: IVREG2 and Multi-way Clustering** - Next by thread:
**st: Re: IVREG2 and Multi-way Clustering** - Index(es):