Eiji,
Quoting Eiji Mangyo <[email protected]>:
> Dear Statalist,
>
> I have a question on the cluster option in ivreg2, gmm. My
> understanding of
> the cluster option is to make standard errors robust to arbitrary
> intra-cluster correlation and that the cluster option does not
> change
> coefficient estimates. Does this apply to GMM estimation (ivreg2
> with the
> gmm option)? I got different coefficient estimates with and without
> the
> cluster option in the command ivreg2, gmm.
That's because the -gmm- option implements "2-step feasible efficient
gmm". The coefficient estimates with this option are efficient in the
presence of arbitrary intra-cluster correlation, whereas the usual IV
coefficients are not.
--Mark
>
> Thank you very much for your help.
> Eiji
>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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