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Re: st: Clustered standard errors with panel-specific trends
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: Clustered standard errors with panel-specific trends
Date
Tue, 28 Aug 2012 09:55:50 -0400
Jing Xing <[email protected]>:
You cannot estimate SEs on cluster-specific coefficients such as fixed
effects or cluster-specific time trends with a cluster-robust SE. See
e.g. http://www.stata.com/meeting/13uk/nichols_crse.pdf and refs
therein.
On Tue, Aug 28, 2012 at 9:05 AM, Jing Xing <[email protected]> wrote:
> Hi all,
>
> I am trying to estimate a simple linear regression model using a panel data of around 80 countries. I included country-specific time trends in the estimations, and I also clustered the standard errors for each country. I noticed that once I cluster the standard errors, the standard errors of those country-specific linear time trends become extremely small and essentially zero. As a result, the t-statistics become very large. I find these results suspicious and puzzling. If I only calculate the robust (but non-clustered) standard errors on these trends, I obtain reasonable standard errors. Can anyone suggest me why this is the case? Should I cluster the standard errors if I include country-specific time trends in the model?
>
> Thank you very much.
>
> Best wishes,
> Cindy Xing
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