Alok,
Please clarify something for me: do you have repeated measures for the
same investors? What exactly do you mean when you say "performance
measures are correlated"? What measures are correlated with what
measures?
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Alok Kumar
> Sent: Friday, December 22, 2006 10:51 AM
> To: [email protected]
> Subject: st: How to control for non-independence?
>
>
> Hi Guys,
>
> I am trying to estimate a cross-sectional regression where
> the observations are not independent. I have the performance
> of a large number of investors as the dependent variable and
> various investor characteristics (Age, Income, Gender, etc.)
> are independent variables. Because the performance of ALL
> investors would be influenced by the market, the performance
> measures are correlated.
>
> How can I estimate the cross-sectional regression, where I
> can control for this potential non-independence? I don't
> think the "robust" option takes into account this
> cross-sectional dependence. The "cluster" option might take
> care of this but I don't know how the performance might be
> clustered. Is there any way of taking care of this problem in Stata?
>
> Thanks very much for your help.
> Regards, Alok
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