st: RE: Quick doubt about the 2-way clustering option used in IV_GMM2s

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Jordana,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Jordana Rodrigues Cunha
> Sent: Monday, January 10, 2011 9:28 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Quick doubt about the 2-way clustering option 
> used in IV_GMM2s
> 
> Dear professors, 
> 
> I used the great GMM estimator with the 2-way clustering 
> option in testing the endogeneity of my regressors and all 
> the tests were excellent for my conclusions. 
> But , when I am running the OLS regressions of the first 
> stage, using the cgmreg routine to indicate my 2-way 
> clustering, the F-statistic (explicitly required in the 
> estout, scalars option) doesn't come out.

I'm guessing that you're using -ivreg2- for the GMM estimation - is that
right?  If so, you can get your first-stage regressions from the -first-
option, or you can use -ivreg2- to do the first-stage regression by hand
using OLS.  Is the first-stage F-stat still missing in that case?

If that doesn't work, maybe post an example to the list of the output to
illustrate what the problem is.

Cheers,
Mark

> I would like to understand if it happens because there is no 
> sense in using the F-statistic because I am assuming that the 
> s.e are non independent once I am indicating the 2-way 
> clustering? How could I test the regression significance?
> 
> Since now, thank you very much for your comments,
> Jordana
> 
> 
> Jordana Rodrigues Cunha
> PhD. Candidate
> University of Bologna
> Department of Management
> Via Capo di Lucca, 34, 1st floor
> 40126 - Bologna, ITALY
> Fixed line:  0039 (051) 20 98 073
> Fax: 0039 (051) 20 98 074
> jordana.rodrigues@unibo.it
> www.sa.unibo.it
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