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| From | "Ma, Guang" <guang.ma@utdallas.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: RE: difference between robust and cluster option |
| Date | Fri, 16 Jul 2010 04:54:59 +0000 |
Anyone is welcomed to correct me if I made any mistake. I think cluster can take good care of both heteroskedasticity and serial correlation, as long as you cluster in a panel way. "robust" is just heteroskedasticity consistent since it uses 1/(1-h)^2 as weights. Check this paper: Petersen, M. A. 2009. "Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies 22 (1): 435-480. Guang Ma Accounting Department The University of Texas at Dallas School of Management, SM41 Richardson, TX 75080 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jing Zhou Sent: Thursday, July 15, 2010 8:34 PM To: statalist@hsphsun2.harvard.edu Subject: st: difference between robust and cluster option To control for the heteroskedasticity and serial correlation in FE and RE models, do I need to add only "robust" or both "robust"and "cluster" option in the corresponding command? And after this remedy, is it unnecessary to worry about the two problems? * * 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/