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st: RE: Cluster standard errors by time and firm
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Cluster standard errors by time and firm
Date
Mon, 11 Jun 2012 15:00:49 +0100
Sebastiaan,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> sebas nicaise
> Sent: Monday, June 11, 2012 1:49 PM
> To: [email protected]
> Subject: st: Cluster standard errors by time and firm
>
>
> Dear all,
>
> I have an unbalanced panel data set and I want to perform
> several regressions.
> The problem is that I have overlapping observations in my
> dependent variable meaning that I have mechanical serial
> correlation in that variable.
> Therefore, I want to cluster my standard errors by firm and
> time ( quarter).
> I have only been able to cluster my variable by firm.
> Is this possible in stata, and how would I do this?
The cluster-robust covariance estimator is robust to arbitrary
within-cluster (serial) correlation, so it's not clear you need anything
more than that for the VCV and SEs. But if you tell us more about your
problem and your dataset - e.g., is it a large-N or/and large-T panel,
what version of Stata you're using, what other features your model has -
perhaps someone can offer some other suggestions.
HTH,
Mark
>
> Thank you,
> Sebastiaan
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