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From | Austin Nichols <austinnichols@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: ivreg2 missing SE's when using two cluster variables |
Date | Mon, 17 Sep 2012 15:09:25 -0400 |
The 2-way cluster-robust SE is constructed from V1+V2-V12 and that matrix is not guaranteed to be PSD. I would use the nearest PSD matrix to the defective matrix instead. Or use the max over SE for clustering in either dimension and both dimensions, where a max over two numbers and missing is the max over two numbers. On Mon, Sep 17, 2012 at 3:02 PM, <Max.Livingston@ny.frb.org> wrote: > 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 * * 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/