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st: Double Clustered Standard Errors in Regression with Factor Variables
From
Roberto Liebscher <[email protected]>
To
[email protected]
Subject
st: Double Clustered Standard Errors in Regression with Factor Variables
Date
Thu, 22 Aug 2013 16:57:22 +0200
Dear Statalisters,
I am trying to conduct a regression with double clustered standard
errors in the sense of Cameron/Gelbach/Miller, Robust Inference with
Multi-way Clustering, 2009. However the ado.file provided by the authors
seem only to work in the absence of factor variables. To give an example:
use
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.dta,
clear
cgmreg y x, cluster(firmid year)
cgmreg y x i.year, cluster(firmid year)
The last command yields an error message saying: "factor variables and
time-series operators not allowed"
Is there a way around this or a similar command that allows for factor
variables?
Any help is highly appreciated. Thank you!
Roberto
--
Roberto Liebscher
Catholic University of Eichstaett-Ingolstadt
Department of Business Administration
Chair of Banking and Finance
Auf der Schanz 49
D-85049 Ingolstadt
Germany
Phone: (+49)-841-937-1929
FAX: (+49)-841-937-2883
E-mail: [email protected]
Internet: http://www.ku.de/wwf/lfb/
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