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st: Re: Rép. : Re: st: RE: AW: Test of the difference in growth rate of two variables


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Rép. : Re: st: RE: AW: Test of the difference in growth rate of two variables
Date   Sun, 26 Apr 2009 07:59:10 -0400

Herve STOLOWY <stolowy@hec.fr>:
Yes, if you believe that is the right model--if the serial correlation
is the only concern, and there is no correlation of errors across i at
t (companies in a year), for example--see also
http://www.nber.org/papers/t0327.  Note that -suest- is also a
cluster-robust variance estimator, so two-way clustering across two
models would imply three-way clustering, I believe.  Also, the
clustering only adjusts SEs, not point estimates--you could also
include fixed effects or use a more efficient estimator (requiring a
model of the errors distributions).

On Sat, Apr 25, 2009 at 4:26 AM, Herve STOLOWY <stolowy@hec.fr> wrote:
> Dear Austin:
>
> Thank you for your reply. It is helpful. I have applied the method you suggest and read the reference guide on -suest-. I have a quick question. You write:
>
> suest i v
> test [i_mean]time=[v_mean]time
> suest i v, cluster(company)
> test [i_mean]time=[v_mean]time
>
> If I understand correctly, only the second -suest- should be performed. Is that correct?
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