Re: st: Double Clustered Standard Errors in Regression with Factor Variables

[Nick Cox <njcoxstata@gmail.com>]

You don't say where you got the program file, but a look at

http://gelbach.law.yale.edu/~gelbach/ado/cgmreg.ado

confirms that. Time series operators were not implemented and factor
variables were not even in Stata when the program was written, if I
recall correctly. Try running it under -xi:-.


Nick
njcoxstata@gmail.com


On 22 August 2013 15:57, Roberto Liebscher <roberto.liebscher@ku.de> wrote:
> 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:   roberto.liebscher@ku-eichstaett.de
> Internet: http://www.ku.de/wwf/lfb/
>
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