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Re: st: first stage results using ivregress with vce(cluster)
From
Alfonso Sanchez-Penalver <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: first stage results using ivregress with vce(cluster)
Date
Tue, 11 Mar 2014 09:50:46 -0400
Hi Souvik,
What you're saying is normal. The first stage regression(s) is only useful to predict the values of the endogenous variable(s) so that they can be used in the second stage, so for 2SLS estimation purposes the standard errors of the first stage are not that important. Therefore my understanding is that -ivregress 2SLS- only applies the clustering for the standard errors in the second stage, not the first.
Having said that, I'm confused with your syntax. You say that you use -vce(cluster clustervariable)- but I don't see this option in your clarifying example but rather -cluster(x2)-.
Best,
Alfonso Sanchez-Penalver
> On Mar 11, 2014, at 9:09 AM, Souvik Banerjee <[email protected]> wrote:
>
> 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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