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st: xtivreg2 vs ivregress 2sls with cluster: missing SEs


From   Francesco Amodio <fsco.amodio@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg2 vs ivregress 2sls with cluster: missing SEs
Date   Fri, 18 Oct 2013 09:33:21 +0200

Hi all,

I am implementing an IV strategy where I instrument one endogenous
regressor with two instruments. I also have a large set of dummies
(2,000) as exogenous regressors. I cluster standard errors by
categories (40) which encompass those defined by the dummy regressors.

Having a large number of dummies, I use the 'xtivreg2' command with
the 'fe' option. I was thus interested in checking that my results
using the 'xtivreg2' commands where the same as the ones I obtain
using 'xi: ivregress 2sls'.

First and second stage point estimates of the variables of interest
are exactly the same. However, when using 'ivregress 2sls' and the
clustering option, STATA is unable to produce standard errors for my
estimates in the first stage regression. That does not happen when I
do not cluster SEs.

Any hint on what is going on with missing SEs in the first stage regression?

Thank you very much.


-- 
Francesco Amodio

GPEFM - Departament d'Economia i Empresa
Universitat Pompeu Fabra
Ramon Trias Fargas 25-27 - 08005 Barcelona - Spain
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