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Re: st: RE: "cluster(): too many variables" in ivreg2 despite latest version?


From   Jen Zhen <jenzhen99@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: "cluster(): too many variables" in ivreg2 despite latest version?
Date   Thu, 17 Oct 2013 14:52:41 +0200

Dear Mark,
thanks a lot for your reply!

(1) Here is what Stata reports:

. which ivreg2, all
C:\Users\UserJZ\ado\plus\i\ivreg2.ado
*! ivreg2 3.1.07  28Jul2013
*! authors cfb & mes
*! see end of file for version comments

(2) I downloaded them from here:
http://ideas.repec.org/c/boc/bocode/s425401.html
There it says: Date of revision: 28 Jul 2013.

(3) Good point about the livreg2.mlib.
Now I have downloaded that too, i.e. opened the text in the browser,
copied the full text into a Notepad file and saved that to my Desktop.
Like with the hlp files, I have then changed the ending from txt into
mlib and saved in my
PLUS/l directory.
 This seems to have had an effect in that I now get a different error message:

. ivreg2 depvar controlvar (endogreg = instrument), cluster(dimension1
dimension2)
struct ms_vcvorthog undefined
(763 lines skipped)
(error occurred while loading ivreg2.ado)
r(3000);

So presumably I'm now a good step closer, albeit not completely there yet?

Thank you so much,
JZ


On Thu, Oct 17, 2013 at 2:33 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> JZ,
>
> Re: (1), exactly what does -which ivreg2, all- report?  When you say you downloaded the "2013 versions", from where you did download them and how?  And have you also downloaded the Mata library file livreg2.mlib?
>
> --Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Jen Zhen
>> Sent: 17 October 2013 13:01
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: "cluster(): too many variables" in ivreg2 despite latest version?
>>
>> Dear listers,
>>
>> (1) When specifying two-dimensional clustering in -ivreg2-,
>> ivreg2 depvar controlvar (endogreg = instrument), cluster(dimension1
>> dimension2), I always get the error "cluster(): Too many variables specified".
>>
>> Many earlier posts on the topic on Statalist suggest that this problem should be
>> solved by ensuring to have at least the 2010 version of -ivreg2-. While my Stata
>> cannot be updated automatically, I have downloaded 2013 versions of both
>> ivreg2 and of ranktest, and I have also checked -which ivreg2, all- that I
>> currently have only that 1 version of the ado file in my PLUS ado file path.
>> Nonetheless the problem persists. Would anyone know what else I could try?
>> Does ivreg2 maybe require any other ado files that might also need manual
>> updating?
>>
>> (2) Nichols 2007 recommends to have at least 50 different clusters and Angrist
>> & Pischke similarly suggests to have at least 42. So I'm taking this into account
>> when choosing on which dimensions to cluster my standard errors. What I'm
>> wondering though is: Should I also make sure to have no or few clusters with
>> fewer than ... observations? In particular, with the way I am currently
>> clustering, I have a few clusters with just 2 observations, although 95% of my
>> clusters have more than 17. With 2 way clustering, any such requirement would
>> presumably need to be independently satisfied for each of my 2 dimensions?
>>
>> Thank you so much and kind regards, JZ
>> *
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