<>
In my last posting, I created a dependent variable as
g inv12 = invest + L.invest + L2.invest + L3.invest
and used the estimation command
xtreg inv12 cashflow kstock12, vce(cluster company) fe
It is important to note that the use of overlapping data creates
moving average errors (in this case, of order MA(3)) even if the
original errors are i.i.d. The cluster-robust estimator handles
arbitrary departures from independence within each cluster (company),
which should take care of that.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
*
* 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/
