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st: xtcltest for testing clustered SE's in panel models with fixed effects


From   startistiker <diudas1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtcltest for testing clustered SE's in panel models with fixed effects
Date   Tue, 14 Sep 2010 10:31:36 -0700 (PDT)

Does anybody know where to get xtcltest (mentioned in a presentation 2007 by
Nichols/Schaffer)?

My problem is, I'am using a panel with 80 firms over 15 years and clustered
standard errors by firm and year (using cmgreg). As fixed effects for firms
and years (dummies) and 3 main coefficients (continious variables) are
estimated, I'am not sure if clustering by firm and year is biases my SE's
downwards strongly.
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