Thank you very much, Maarten. It helps me a lot.
________________________________
From: [email protected] on behalf of Maarten buis
Sent: Fri 8/22/2008 10:28 AM
To: [email protected]
Subject: Re: st: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms
http://www.stata.com/support/faqs/stat/cluster.html
--- Wen Xia Ge <[email protected]> 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/
-----------------------------------------
Send instant messages to your online friends http://uk.messenger.yahoo.com <http://uk.messenger.yahoo.com/>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
