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RE: st: RE: Cluster standard errors by time and firm


From   sebas nicaise <sebasnicaise@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Cluster standard errors by time and firm
Date   Mon, 11 Jun 2012 14:52:13 +0000

My bad,I was refering to Petersen (2009) ''Estimating standard errors in finance panel data sets: Comparing approaches''
Where he argues that to control for serial correlation in estimating SEs, they should be clustered by firm and quarter.

My apologies :)
----------------------------------------
> Date: Mon, 11 Jun 2012 16:40:41 +0200
> Subject: Re: st: RE: Cluster standard errors by time and firm
> From: maartenlbuis@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> On Mon, Jun 11, 2012 at 4:35 PM, Maarten Buis wrote:
> > You obviously should also read Cox (2012).
>
> This is deliberately obscure to illustrate the point that it is
> necessary to give full references in order for an interdisciplinary
> list like statalist to function.
>
> It is the Statalist FAQ that was meant with Cox (2012). To quote the
> Statalist FAQ (a link is given at the bottom of every post to
> statalist): "Precise literature references please! Please do not
> assume that the literature familiar to you is familiar to all members
> of Statalist. Do not refer to publications with just minimal details
> (e.g., author and date). Questions of the form “Has anyone implemented
> the heteroscedasticity under a full moon test of Sue, Grabbit, and
> Runne (1989)?” admittedly divide the world. Anyone who has not heard
> of the said test would not be helped by the full reference to answer
> the question, but they might well appreciate the full reference."
>
> -- Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
>
> http://www.maartenbuis.nl
> --------------------------
>
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