RE: st: RE: Cluster standard errors by time and firm

[sebas nicaise <sebasnicaise@hotmail.com>]

Dear Mark,
 
I have a panel set of approx. 7000 id's and 40 time periods. 
I am using stata 12 SE. 
I am estimating my model using four quarter differences, while I have a firm-quarter dataset. 
I have read in Petersen (2009) I should cluster my SEs by firm and quarter. 

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> Subject: st: RE: Cluster standard errors by time and firm
> Date: Mon, 11 Jun 2012 15:00:49 +0100
> From: M.E.Schaffer@hw.ac.uk
> To: statalist@hsphsun2.harvard.edu
>
> Sebastiaan,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > sebas nicaise
> > Sent: Monday, June 11, 2012 1:49 PM
> > To: statalist@hsphsun2.harvard.edu
> > 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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> >
>
>
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