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st: xtcltest for testing clustered SE's in panel models with fixed effects
From
startistiker <[email protected]>
To
[email protected]
Subject
st: xtcltest for testing clustered SE's in panel models with fixed effects
Date
Tue, 14 Sep 2010 10:31:36 -0700 (PDT)
Does anybody know where to get xtcltest (mentioned in a presentation 2007 by
Nichols/Schaffer)?
My problem is, I'am using a panel with 80 firms over 15 years and clustered
standard errors by firm and year (using cmgreg). As fixed effects for firms
and years (dummies) and 3 main coefficients (continious variables) are
estimated, I'am not sure if clustering by firm and year is biases my SE's
downwards strongly.
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