Goodness of Fit in IVregress with clustered SE

[Gedeao Locks]

Dear all,

I'm running an IV regression with clustered SE. Since my outcome variable is a cell mean, I'd like to compute its sampling variance in order to obtain the goodness of fit statistic as follows:

GOF = sum(ê_a^2/V_a)

Which following a chi-squared distribution with N-k degrees of freedom. Although Stata automatically shows in a normal ivreg set up, it doesn't when using clustered SE's.

Thanks in advance.

Best,
Locks

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

Stata offers a variety of fit measures often under estat ic . After ivreg, you can predict either outcomes or errors. If you issue ereturn list, return list, and sreturn list, you'll see what statistics Stata has retained from ivreg.