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RE: st: Clustering Standard Errors.


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Clustering Standard Errors.
Date   Tue, 15 Jun 2010 15:04:38 +0100

Natasha,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> natasha agarwal
> Sent: 15 June 2010 14:50
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Clustering Standard Errors.
> 
> Hi Mark,
> 
> Thanks very much. I thought that this could be proceeded this 
> way but was not 100 percent confident.
> 
> One can time-demean the data by using the 'center' command as well.
> 
> Following from what you just mentioned about adjusting the 
> SEs for the loss of degrees of freedom, is there a paper or 
> so where I can learn how to do the same as for some of my 
> estimation I do transform the data by hand but was not aware of this?

Any good textbook discussion of the fixed effects estimator, a.k.a. the
least squares dummy variables (LSDV) estimator, should have this.  It's
a basic feature of the estimation of the error variance.

--Mark

> Thanks
> Natahsa
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