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st: p-values seem too low after regress with cluster option


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: p-values seem too low after regress with cluster option
Date   Wed, 15 Apr 2009 11:24:15 +0200

Dear Statlist,

I am fitting a model to a cross-sectional data set of 304 firms across
9 industries. I fit the model using regress with the robust and
cluster options (which I use to cluster standard errors at the
industry level). One of the variables obtains  a "t" of 1.78 but its
p-value is "only" 0.114. Shouldn't the p-value be lower than 10% in
this case?

I really cannot explain this.

I hope somebody could provide an explanation.

Thanks,

Erasmo
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