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RE: 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   RE: st: how to get p-value robust to heteroskedasticity and ajusted for the clustering of observations in firms
Date   Sun, 24 Aug 2008 22:13:55 -0400

Thank you very much, Maarten. It helps me a lot. 

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Maarten buis
Sent: Fri 8/22/2008 10:28 AM
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



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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