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st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).
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From |
"Danny Cohen-Zada" <[email protected]> |
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To |
<[email protected]> |
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Subject |
st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument). |
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Date |
Thu, 28 Feb 2008 15:09:20 +0200 |
I will try to edit my question to be clearer.
Suppose that i estimate the following iv model with the cluster option.
ivreg2 y1 x1 x2 (y2 = z1 ), ffirst cluster (x3)
I tested that my instrument is weak (using the clustered f-statistic) and
found that my instrument is weak.
Then i run the conditional likelihood ratio test
condivreg y1 x1 x2 (y2= z1)
This command does not have the cluster option.
Supose that i find that the p-value of this test is 0.000 . Can i trust this
result even when i use clustered standard errors in my ivreg estimation.
Thanks
Danny
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