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


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms
Date   Fri, 22 Aug 2008 15:28:33 +0100 (BST)

http://www.stata.com/support/faqs/stat/cluster.html

--- Wen Xia Ge <wenxia.ge@mail.mcgill.ca> wrote:
> 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!



-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

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