st: Confidence interval with Anderson and Rubin test with the cluster option

["Danny Cohen-Zada" <danoran@bgu.ac.il>]

As you and professor schaffer told me i can have the p-value of the AR test 
(taking into account clustering) using ivreg2. Can you tell me please how 
can i create AR confidence interval that take the clustering into account (I 
have one endogenous variable and one instruments)

Thank you very much

Danny
----- Original Message ----- 
From: "Austin Nichols" <austinnichols@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
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 <danoran@bgu.ac.il> 
> 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
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