Danny,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Danny Cohen-Zada
> Sent: Thursday, February 28, 2008 4:54 PM
> To: [email protected]
> Subject: Re: st: conditional likelihood ratio test when the
> cluster option is used in ivreg (weak instrument).
>
> Professor Austin,
>
> Your advise helped me very much. I performed the AR test with
> the cluster option and obtained very good result. I only want
> to be sure that I did everything ok.
>
> Our basic model was
>
> ivreg2 y1 x1 x2 (y2 = z1 ), ffirst robust cluster (x3) (by
> the way the clustered t -statistic in this estimation was -2.08)
>
> Since my instrument was potentially weak I wanted a correct
> p-value (or t -statistic) for the test that the coefficient
> of y2 is different from zero (in this case y1-y2b0 =y1).
>
> Thus, i regress the following regression:
>
> regress y1 z1 x1 x2, robust cluster (x3)
>
> the t-statisic for the coefficient of z1 is the correct
> t-statistic for the test that the coefficient of y2 is equal
> to zero (am i correct?).
This test is in the ivreg2 ffirst output, so you needn't do it by hand
(except to double check). Also see the discussion in
Baum-Schaffer-Stillman, The Stata Journal, Vol. 7, No. 4, 2007.
Cheers,
Mark
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert
>
> I obtained even stronger results. The t-statistic is -2.43.
>
> Am i correct that now i can claim that y2 as a significnat
> negative effect on y1 based on the -2.43.
>
> Thanks,
>
> Danny
>
>
> ----- Original Message -----
> From: "Austin Nichols" <[email protected]>
> To: <[email protected]>
> Sent: Thursday, February 28, 2008 4:00 PM
> Subject: Re: st: conditional likelihood ratio test when the
> cluster option is used in ivreg (weak instrument).
>
>
> > Danny--
> > The answer is no, you cannot "trust this result" from a
> command that
> > does not allow cluster-robust estimation when you must use
> clustered
> > standard errors in the IV (ivreg2) estimation. If clustering is
> > important, and you have said that it is, and you have a weak
> > instruments problem, you must either improve the quality of your
> > instruments by adding/finding more excluded instruments, in
> which case
> > you probably want the LIML/CUE options on -ivreg2- (and
> overID tests),
> > or you can use a method of inference robust to the presence of weak
> > instruments that allows clustering, namely Anderson-Rubin
> tests/conf
> > regions. I discussed this in some detail at NASUG5, and
> some of the
> > material appears in the slides at
> > http://www.stata.com/meeting/5nasug/wiv.pdf and some in
> Stata Journal
> > 7(4). On Anderson-Rubin tests/conf regions, see the Dufour and
> > Taamouti ref linked from http://www.stata.com/meeting/5nasug/wiv.pdf
> > (though I prefer constructing the confidence region rather than the
> > projection onto individual axes that they advocate--the
> latter can be
> > deceptive if, say, there are two variables measuring a similar
> > quantity and you can reject that both coefs are simultaneously zero
> > because the conf ellipse does not include the origin, but the
> > projections might both overlap zero). Tests are easier than
> > confidence regions for this approach, obviously.
> >
> > On Thu, Feb 28, 2008 at 8:09 AM, Danny Cohen-Zada
> <[email protected]>
> > wrote:
> >> 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
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
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> * http://www.ats.ucla.edu/stat/stata/
>
*
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