I posted "how to adjust standard error with -cluster- option by two dimensions" about two months ago.
And I got some help and valuable websites, one of which is
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm.
In this website, professor Petersen gives logit2 and probit2 programmes for adjusting standard error with -cluster- option by two dimensions for logit model and probit model. Using the data test_data in the website, I can run the following commands and the results are
. u test_data,clear
. su y
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
y | 5000 .0352381 2.252704 -7.843253 8.63729
. g y2=(y> r(mean))
. logit2 y2 x, fcluster( firmid) tcluster( year)
Logit with 2D clustered SEs
Number of obs = 5000
Number of clusters (firmid) = 500 Wald chi2( 1) = 567.60
Number of clusters (year) = 10 Prob > chi2 = 0.0000
Log pseudolikelihood = -3.128e+03 Pseudo R2 = 0.0975
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | .8208494 .0482432 17.01 0.000 .7262944 .9154043
_cons | .0111906 .0590119 0.19 0.850 -.1044706 .1268518
------------------------------------------------------------------------------
SE clustered by firmid and year
. probit2 y2 x, fcluster( firmid) tcluster( year)
Probit with 2D clustered SEs Number of obs = 5000
F( 1, .) = .
Prob > F = .
Number of clusters (firmid) = 500 R-squared = .
Number of clusters (year) = 10 Root MSE = .
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | .5015938 .0281373 17.83 0.000 .4464458 .5567419
_cons | .0071914 .0356859 0.20 0.840 -.0627516 .0771345
------------------------------------------------------------------------------
SE clustered by firmid and year
I am confused by the equation statistic, which is Wald chi2 for logit2 but missing F vaule for probit2. And then I type -eret li- , no matter logit2 or probit2, the related equation staistics are missing.
I have emailed professor Petersen before and he told me he was not a good programmer though he sincerely wanted to help me.
Could anyone help me correct the programme if you know how to do it?
Best regards,
Rose.
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