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On Jul 17, 2010, at 2:33 AM, Jing wrote:
> according to Petersen (2009) (estimating standard errors in finance
> panel data sets: comparing approaches, review of financial studies,
> 2009.), the standard errors clustered by firm and time can be a useful
> robustness check. My dataset is a sample of 560 firms over 9 years
> (unbalanced). Could you please advise me how I can cluster both firm and
> time in my analysis by using stata. cos when typing "xtreg, fe cluster
> (year)", the result shows "panels are not nested within clusters".
ssc install xtivreg2, replace
ssc install ivreg2, replace
ssc install ranktest, replace
xtivreg2 depvar indepvars, fe cluster(year firm)
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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