[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Clustered Robust Standard Errors or Robust Standard Errors?

From   emanuele canegrati <>
To   <>
Subject   st: Clustered Robust Standard Errors or Robust Standard Errors?
Date   Tue, 1 Jul 2008 17:11:18 +0200

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.

Invite your mail contacts to join your friends list with Windows Live Spaces. It's easy!
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index