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


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms
Date   Fri, 22 Aug 2008 16:26:54 +0200

You probably want to ask your question for -xtreg- if you are using panel
data...

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Wen Xia Ge
Sent: Friday, August 22, 2008 3:57 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: how to get p-value robust to heteroskedasticity and ajusted for
the clustering of observations in firms

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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