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st: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms


From   Wen Xia Ge <wenxia.ge@mail.mcgill.ca>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms
Date   Fri, 22 Aug 2008 09:57:22 -0400

Dear Stata Users,

My panel data is composed of firms' bond issues over ten years. Some
firms have multiple bond issues in a given year, while other firms have
only one bond issue in a given year. I assume that observations are
independent across firms but not necessarily independent within firms. 

As to my understanding, using

-reg y x, robust- 

can get p-value or t-statistics robust to heteroskedasticity. But I am
not sure how to get the p-value or t-statistics that are robust to
heteroskedasticity and are also adjusted for the clustering of
observations in firms that make multiple issues? Could you please let me
know which command I should use if you know it? Thank you!

Wenxia

 


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