Dear all,
I am currently writing an econometric paper on the relation between market returns and financial technical indicators (MACD, Relative Strenght Index...). Since the database I am using is a panel of listed companies (around 30 companies; daily observations from January 2003 to March 2008), I decided to use the STATA's option "Clustered Robust Standard Errors". I also run the regressions with normal robust standard errors, obtaining very different results as for the significance of indicators. I wish to ask if you can kindly give me an opinion about which one of the two techniques to use: RSE or CRSE? It seems that by using CRSE I obtain results very similar to those I obtain by performing regressions without robust option.
Thank you in advance,
Kind Regards,
Emanuele Canegrati, Ph.D.
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