Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: difference between robust and cluster option
From
"Ma, Guang" <[email protected]>
To
"[email protected]" <[email protected]>
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: [email protected] [mailto:[email protected]] On Behalf Of Jing Zhou
Sent: Thursday, July 15, 2010 8:34 PM
To: [email protected]
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/