RE: st: RE: clustering option after ivprobit

["Brian P. Poi" <bpoi@stata.com>]

On Tue, 2 Sep 2008, Schaffer, Mark E wrote:

> Brian,
>
>
> Just out of curiosity - why isn't cluster-robust (or just robust, for
> that matter) allowed after two-step?  I've noticed this is also the case
> for the related estimators that also have two-step versions, -heckman-
> and -treatreg-.
>
> --Mark
Mark,

We simply haven't worked out the details of the robust variants of the 
VCEs for the two-step estimators.  Hardin (2002, Stata Journal) shows 
the general procedure to obtain the robust variance estimator for 
two-step models:

   http://www.stata-journal.com/article.html?article=st0018


I'd imagine a similar approach would work for the cluster-robust version 
as well.

   -- Brian Poi
   -- bpoi@stata.com
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