Rose, I've not tried any of these programs and I am not expert in this
area. However, with only five years of data, you do not have enough
time clusters to rely on the two-way clustering methods. In fact, with
so few year clusters, Petersen's simulations seem to show that two-way
clustering is not necessary (see Figure 7 of his paper). So, I
suggest that you cluster on company and model time in another way,
perhaps with random coefficient models. As Petersen stresses, you must
still test the assumption that your model is correct.
In any case, I suggest that you read at least the summaries and
conclusions of Petersen and the Cameron, Gelbach, and Miller papers.
Good luck
On Mon, Jul 27, 2009 at 11:03 AM, <[email protected]> wrote:
> Steve, thanks a lot.I got probit2.ado in the website you posted.
>
> However, I had two doubts.
>
> Firstly, My sample is pooled cross-section data.
> I estimate standard error clustered by company and year. Should I
> still take year dummies varialbes as independent variables? In fact,
> when I include year dummies as independent variables, the standard error
> for them are missing. why?
>
> Probit with 2D clustered SEs Number of obs = 4396
> F( 9, .) = .
> Prob > F = .
> Number of clusters (code) = 1285 R-squared = .
> Number of clusters (year) = 5 Root MSE = .
> ------------------------------------------------------------------------------
> | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x1 | .1120743 .024432 4.59 0.000 .0641884 .1599602
> x2 | -.4514519 .2984397 -1.51 0.130 -1.036383 .1334791
> x3 | -.8063046 .2314595 -3.48 0.000 -1.259957 -.3526524
> x4 | -.3627517 .1717722 -2.11 0.035 -.699419 -.0260843
> x5 | -.7701916 .2277355 -3.38 0.001 -1.216545 -.3238382
> year1 | -.0380545 . . . . .
> year2 | -.0613474 . . . . .
> year3 | -.1183585 . . . . .
> year4 | -.1321975 . . . . .
> _cons | -1.997594 .2141259 -9.33 0.000 -2.417273 -1.577915
> ------------------------------------------------------------------------------
>
> SE clustered by code and year
>
>
> Secondly, why the equation statistics is F, not chi2? why is missing?
>
> Thank you for any help!
>
> Sincerely,
> From Rose.
>
> ----- Original Message -----
> From: [email protected]
> To: [email protected]
> Subject: Re: st: how to adjust standard error with -cluster- option by two dimensions?
> Date: 2009-7-27 20:19:39
>
> --
> You can download a Stata program at:
> http://www.econ.ucdavis.edu/faculty/dlmiller/statafiles/#_jmp0_
>
> This code was used in: “Robust Inference with multi-way clustering” by
> Cameron, Gelbach, and Miller (2006, NBER TWP 327) available at:
> http://ideas.repec.org/p/nbr/nberte/0327.html#_jmp0_
>
> Other Stata programs that have adapted or extended this approach can
> be found on the web page:
> http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm
>
> to accompany a paper:
> http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/standarderror.htm
>
> Good luck
>
>
> Steve
>
> 2009/7/27 <[email protected]>:
>> Dear statalists,
>>
>> I encountered a problem about -cluster- option.
>> I want to do -reg-,-logit- and -probit- equation with -cluster- option by two dimensions.
>> However, stata only provides -cluster- option by one dimensions.
>>
>> Could anyone help me?
>>
>> Thanks a lot!
>>
>> Sincerely,
>> From Rose.
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
>
> --
> Steven Samuels
> [email protected]
> 18 Cantine's Island
> Saugerties NY 12477
> USA
> 845-246-0774
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Steven Samuels
[email protected]
18 Cantine's Island
Saugerties NY 12477
USA
845-246-0774
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
