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Re: st: Clustering Standard Errors.


From   natasha agarwal <agarwana2@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering Standard Errors.
Date   Sun, 20 Jun 2010 15:57:46 +0100

Hi everyone,

Continuing from the discussion above, If I estimate a specification
where I regress firm-level variables on few of the firm-level
variables and a regional level variable, then what level should I
cluster?

'Microeconometrics using Stata' by Cameron and Trivedi have mentioned
that the clustering can be performed when the number of clusters goes
to infinity.

So if the number of units within a cluster is greater than the number
of clusters, is it still possible to go ahead with clustering at the
higher level, in my case at the regional level?

Number of regions in my case: 30
Number of firms: 12000
Time:5

Thanks
Natasha
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