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From | Max.Livingston@ny.frb.org |
To | statalist@hsphsun2.harvard.edu |
Subject | st: ivreg2 missing SE's when using two cluster variables |
Date | Mon, 17 Sep 2012 15:02:40 -0400 |
Hello, I'm performing some analyses using -ivreg2- to perform OLS with two cluster variables. I also have a relatively small sample (around 200 obs) so I'm using the small option. I found that in some of my models, there is no std error. While this is not incredibly surprising given the small n and multiple clusters, I'm a little confused as to why I experience this problem in some models and not others, and what potential solutions may exist. The help file explains that if the small option is used with clustering, ivreg2 makes the following adjustment: qc = (N-1)/(N-K)*M/(M-1), where M is the minimum # of clusters from the two cluster variables. Yet, when I run the same regression with either one of the clusters, ivreg2 is able to calculate the std. error. Further details: N=251, cluster1 has 119 clusters, cluster2 has 60. This is not a case of singleton dummies, as there is only one independent variable. Any advice you may have would be greatly appreciated. Thanks, Max Max Livingston Research Analyst Microeconomic Studies Research and Statistics Group Federal Reserve Bank of New York (212) 720-7894 This e-mail message, including attachments, is for the sole use of the intended recipient(s) and may contain confidential or proprietary information. If you are not the intended recipient, immediately contact the sender by reply e-mail and destroy all copies of the original message. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/