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st: How does clustering in the first-stage impact IV estimates?
From
"Rogger, Daniel" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: How does clustering in the first-stage impact IV estimates?
Date
Wed, 12 Jun 2013 10:17:23 +0000
Dear Statalisters,
I am estimating a two-stage least squares instrumental variables regression using ivregress and choosing the 2sls option. For much of my analysis I am clustering at one level, say by clustervar X. If I believe I should cluster my first stage regression by another level, say clustervar Y, how should I proceed? Does how I cluster in the first stage have any impact on my second stage results?
With best wishes,
Dan
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