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st: Murphy and Topel correction and cluster adjustment
From
Hongping Tan <[email protected]>
To
[email protected]
Subject
st: Murphy and Topel correction and cluster adjustment
Date
Thu, 27 Jan 2011 21:57:33 -0500
QVF package provides the MTopel option to compute Murphy-Topel estimator
of variance. Is it possible to adjust both MTopel and cluster at the
same time? When I use MTopel option, I find the reported t-stat is too
high compared to the case when I use CLUSTER option. Besides, are you
aware if there is any published paper that uses a bootstrap to solve the
generated regressor problem?
Thanks,
Hongping Tan
Assistant Professor of Finance
School of Accounting and Finance
University of Waterloo
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