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

[sebas nicaise <sebasnicaise@hotmail.com>]

Again, not very well pointed out by me. I meant that I have a maximum of 40 quarters per firm but since it is unbalanced I have aproximately 180000 observations. 

 So I could do 2-way clustering in stata?

 

The full reference: Petersen (2009) ''Estimating standard errors in finance panel data sets: Comparing approaches'', Review of financial studies, pp 458-459.

----------------------------------------
> Subject: RE: st: RE: Cluster standard errors by time and firm
> Date: Mon, 11 Jun 2012 16:42:45 +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 3:52 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: RE: st: RE: Cluster standard errors by time and firm
> >
> > My bad,I was refering to Petersen (2009) ''Estimating
> > standard errors in finance panel data sets: Comparing approaches''
>
> As Maarten says, you should provide a full reference - not just a title.
>
> > Where he argues that to control for serial correlation in
> > estimating SEs, they should be clustered by firm and quarter.
>
> Do you (does he) mean clustering by "firm-quarters"? Or 2-way
> clustering by firm and quarter?
>
> Taken at face value, the recommendation does not make sense, since
> clustering by firm automatically accommodates within-firm serial
> correlation. You have 7000 firms, so the asymptotics required for
> clustering on firm alone shouldn't be a problem.
>
> And you have only 40 time periods (quarters?) and you are using
> 4-quarter differences, so the asymptotics needed for clustering on time
> alone, or as part of 2-way clustering, probably would be a problem.
>
> My guess is that Petersen's recommendation is either something else, or
> is a recommendation for dealing with a different or expanded problem.
> For example, it might be a recommendation to deal with serial
> correlation + contemporaneous correlations across firms. That is a
> problem that 2-way clustering can address, but since you don't have very
> many observations in the T dimension it could be problematic.
>
> --Mark
>
> >
> > My apologies :)
> > ----------------------------------------
> > > Date: Mon, 11 Jun 2012 16:40:41 +0200
> > > Subject: Re: st: RE: Cluster standard errors by time and firm
> > > From: maartenlbuis@gmail.com
> > > To: statalist@hsphsun2.harvard.edu
> > >
> > > On Mon, Jun 11, 2012 at 4:35 PM, Maarten Buis wrote:
> > > > You obviously should also read Cox (2012).
> > >
> > > This is deliberately obscure to illustrate the point that it is
> > > necessary to give full references in order for an interdisciplinary
> > > list like statalist to function.
> > >
> > > It is the Statalist FAQ that was meant with Cox (2012). To quote the
> > > Statalist FAQ (a link is given at the bottom of every post to
> > > statalist): "Precise literature references please! Please do not
> > > assume that the literature familiar to you is familiar to
> > all members
> > > of Statalist. Do not refer to publications with just minimal details
> > > (e.g., author and date). Questions of the form "Has anyone
> > implemented
> > > the heteroscedasticity under a full moon test of Sue, Grabbit, and
> > > Runne (1989)?" admittedly divide the world. Anyone who has not heard
> > > of the said test would not be helped by the full reference to answer
> > > the question, but they might well appreciate the full reference."
> > >
> > > -- Maarten
> > >
> > > --------------------------
> > > Maarten L. Buis
> > > Institut fuer Soziologie
> > > Universitaet Tuebingen
> > > Wilhelmstrasse 36
> > > 72074 Tuebingen
> > > Germany
> > >
> > >
> > > http://www.maartenbuis.nl
> > > --------------------------
> > >
> > > *
> > > * 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/
> >
>
>
> --
> Heriot-Watt University is the Sunday Times
> Scottish University of the Year 2011-2012
>
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * 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/