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

[Roberto Liebscher <roberto.liebscher@ku.de>]

Thanks, Joerg. This perfectly did the job.

Am 22.08.2013 18:16, schrieb Joerg Luedicke:
> 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
> <roberto.liebscher@ku.de> 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
> > > 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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> >
> >
> > --
> > 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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> *
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