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


From   Joerg Luedicke <[email protected]>
To   [email protected]
Subject   Re: st: Double Clustered Standard Errors in Regression with Factor Variables
Date   Thu, 22 Aug 2013 12:16:18 -0400

Why not just creating a set of indicator variables and use those? For example:

tab year, gen(y)

Joerg

On Thu, Aug 22, 2013 at 11:50 AM, Roberto Liebscher
<[email protected]> wrote:
> Apologies for not giving the source of the code. I got the ado-file from the
> Doug Miller's Stata code page:
>
> http://old.econ.ucdavis.edu/faculty/dlmiller/statafiles/
>
> Thanks for the idea with the xi: extension. It works fine with the example
> file I gave. However with the actual dataset I am working with it still
> returns the mentioned error message.
>
> Am 22.08.2013 17:12, schrieb Nick Cox:
>
>> 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
>> [email protected]
>>
>>
>> On 22 August 2013 15:57, Roberto Liebscher <[email protected]>
>> 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:   [email protected]
>>> Internet: http://www.ku.de/wwf/lfb/
>>>
>>> *
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>>
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>
>
>
> --
> 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/
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


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