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Re: Re: st: how to adjust standard error with -cluster- option by two dimensions?


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: how to adjust standard error with -cluster- option by two dimensions?
Date   Mon, 27 Jul 2009 23:16:51 +0800

Steve, thanks a lot.I got probit2.ado in the website you posted. 

However, I had two doubts.

Firstly, My sample is pooled cross-section data.
I estimate standard error clustered by company and year. Should I 
still take year dummies varialbes as independent variables? In fact,
when I include year dummies as independent variables, the standard error
for them are missing. why?

Probit with 2D clustered SEs                           Number of obs =    4396
                                                       F(  9,     .) =       .
                                                       Prob > F      =       .
Number of clusters (code) =    1285                    R-squared     =       .
Number of clusters (year) =       5                    Root MSE      =       .
------------------------------------------------------------------------------
       |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    x1 |   .1120743    .024432     4.59   0.000     .0641884    .1599602
    x2 |  -.4514519   .2984397    -1.51   0.130    -1.036383    .1334791
    x3 |  -.8063046   .2314595    -3.48   0.000    -1.259957   -.3526524
    x4 |  -.3627517   .1717722    -2.11   0.035     -.699419   -.0260843
    x5 |  -.7701916   .2277355    -3.38   0.001    -1.216545   -.3238382
 year1 |  -.0380545          .        .       .            .           .
 year2 |  -.0613474          .        .       .            .           .
 year3 |  -.1183585          .        .       .            .           .
 year4 |  -.1321975          .        .       .            .           .
       _cons |  -1.997594   .2141259    -9.33   0.000    -2.417273   -1.577915
------------------------------------------------------------------------------
 
     SE clustered by code and year


Secondly, why the equation statistics is F, not chi2? why is missing?

Thank you for any help!

Sincerely,



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