///
Emanuele,
It is understood to take crse in panels. The reason is simple, you want
to consider both the time and cross-sectional variation in the
computation of the se's.
What procedures are you using for your analysis?
Rodrigo.
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de emanuele
canegrati
Enviado el: Martes, 01 de Julio de 2008 11:11 a.m.
Para: [email protected]
Asunto: st: Clustered Robust Standard Errors or Robust Standard Errors?
Dear all,
I am currently writing an econometric paper on the relation between
market returns and financial technical indicators (MACD, Relative
Strenght Index...). Since the database I am using is a panel of listed
companies (around 30 companies; daily observations from January 2003 to
March 2008), I decided to use the STATA's option "Clustered Robust
Standard Errors". I also run the regressions with normal robust standard
errors, obtaining very different results as for the significance of
indicators. I wish to ask if you can kindly give me an opinion about
which one of the two techniques to use: RSE or CRSE? It seems that by
using CRSE I obtain results very similar to those I obtain by performing
regressions without robust option.
Thank you in advance,
Kind Regards,
Emanuele Canegrati, Ph.D.
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