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st: RE: Clustered Robust Standard Errors or Robust Standard Errors?


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Clustered Robust Standard Errors or Robust Standard Errors?
Date   Tue, 1 Jul 2008 11:23:38 -0400

///

Emanuele,

It is understood to take crse in panels. The reason is simple, you want
to consider both the time and cross-sectional variation in the
computation of the se's. 

What procedures are you using for your analysis? 

Rodrigo.



 

-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de emanuele
canegrati
Enviado el: Martes, 01 de Julio de 2008 11:11 a.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: st: Clustered Robust Standard Errors or Robust Standard Errors?


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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