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Re: st: Clustering Standard Errors.


From   Nils Braakmann <nilsbraakmann@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering Standard Errors.
Date   Mon, 14 Jun 2010 16:39:04 +0200

Hi Natasha,

intuitively, I would cluster the errors on the region-industry-level
as this is the level where your variable varies. Depending on what you
are trying to do, you could either use twoway clustering or first
generate a cluster variable with -egen clustervar = group(region
industry)- and then using this.

Best,
Nils

On Mon, Jun 14, 2010 at 3:50 PM, natasha agarwal
<agarwana2@googlemail.com> wrote:
> Dear Everyone,
>
> I have a variable (FDI) which is defined as the FDI in an industry in a region.
>
> At what level is it correct to cluster the standard errors?
>
> Thanks
> Natasha
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