st: first stage results using ivregress with vce(cluster)

[Souvik Banerjee <bobobanerjee@gmail.com>]

Dear Stata users,
I have a question about verifying the first stage regression results
obtained using the "first" option with "ivregress 2sls" with those
obtained by manually running the first stage regression (using
"regress") of the endogenous variable on the IV and other covariates
when I use the "vce(cluster clustervariable)" option to allow for
clustering. The coefficients are the same in both cases, however the
standard errors are different - which should not be the case. Does
anyone have any idea why this might happen? However, if I do not allow
for clustering, the standard errors are the same in both cases - which
is correct.

To clarify, I run:
ivregress 2sls y x (x1 = z), first (cluster x2)
and then manually run:
regress x1 x z, cluster (x2)

Here, y is binary variable, x is vector of covariates (x1, x2, ...
xk), x1 is the endogenous variable (binary) and z the instrumental
variable.

Thanks,

Souvik
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