emanuele --
I would say rather that the reason to use the CRSE is to allow for
arbitrary serial correlation of errors within panel, and generally I
would trust the CRSE more than the het-robust SE. Normally, you would
want 50 clusters or more to ensure that the downward bias of the CRSE
estimator is negligible, but with 30 balanced clusters, I doubt the
bias is a problem. So use the CRSE.
On 7/1/08, Rodrigo Alfaro A. <[email protected]> wrote:
> 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.
> -----Mensaje original-----
emanuele canegrati
>
> 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.
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