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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Mon, 11 Jun 2012 22:29:44 +0100 |

Sebastiaan, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > sebas nicaise > Sent: 11 June 2012 17:39 > To: statalist@hsphsun2.harvard.edu > Subject: RE: st: RE: Cluster standard errors by time and firm > > Again, not very well pointed out by me. I meant that I have a > maximum of 40 quarters per firm but since it is unbalanced I > have aproximately 180000 observations. In this context, the total number of observations is less relevant than the numbers in the N and T dimensions. > So I could do 2-way clustering in stata? 2-way clustering relies on both N and T being large. Your N (7k) is large enough, but your T ("max" 40) is borderline. Can you say more about the number of observations in the T dimension available per firm? Min, mean, median, that sort of thing? 2-way clustering hasn't been much explored in the literature yet, but maybe others can comment if you provide more detail. --Mark > The full reference: Petersen (2009) ''Estimating standard > errors in finance panel data sets: Comparing approaches'', > Review of financial studies, pp 458-459. > > ---------------------------------------- > > Subject: RE: st: RE: Cluster standard errors by time and firm > > Date: Mon, 11 Jun 2012 16:42:45 +0100 > > From: M.E.Schaffer@hw.ac.uk > > To: statalist@hsphsun2.harvard.edu > > > > Sebastiaan, > > > > > -----Original Message----- > > > From: owner-statalist@hsphsun2.harvard.edu > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of sebas > > > nicaise > > > Sent: Monday, June 11, 2012 3:52 PM > > > To: statalist@hsphsun2.harvard.edu > > > Subject: RE: st: RE: Cluster standard errors by time and firm > > > > > > My bad,I was refering to Petersen (2009) ''Estimating standard > > > errors in finance panel data sets: Comparing approaches'' > > > > As Maarten says, you should provide a full reference - not > just a title. > > > > > Where he argues that to control for serial correlation in > estimating > > > SEs, they should be clustered by firm and quarter. > > > > Do you (does he) mean clustering by "firm-quarters"? Or 2-way > > clustering by firm and quarter? > > > > Taken at face value, the recommendation does not make sense, since > > clustering by firm automatically accommodates within-firm serial > > correlation. You have 7000 firms, so the asymptotics required for > > clustering on firm alone shouldn't be a problem. > > > > And you have only 40 time periods (quarters?) and you are using > > 4-quarter differences, so the asymptotics needed for clustering on > > time alone, or as part of 2-way clustering, probably would > be a problem. > > > > My guess is that Petersen's recommendation is either > something else, > > or is a recommendation for dealing with a different or > expanded problem. > > For example, it might be a recommendation to deal with serial > > correlation + contemporaneous correlations across firms. That is a > > problem that 2-way clustering can address, but since you don't have > > very many observations in the T dimension it could be problematic. > > > > --Mark > > > > > > > > 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 > > > > -------------------------- > > > > > > > > * > > > > * For searches and help try: > > > > * http://www.stata.com/help.cgi?search > > > > * http://www.stata.com/support/statalist/faq > > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > -- > > Heriot-Watt University is the Sunday Times Scottish > University of the > > Year 2011-2012 > > > > Heriot-Watt University is a Scottish charity registered > under charity > > number SC000278. > > > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Cluster standard errors by time and firm***From:*sebas nicaise <sebasnicaise@hotmail.com>

**st: RE: Cluster standard errors by time and firm***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: st: RE: Cluster standard errors by time and firm***From:*sebas nicaise <sebasnicaise@hotmail.com>

**Re: st: RE: Cluster standard errors by time and firm***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: RE: Cluster standard errors by time and firm***From:*Maarten Buis <maartenlbuis@gmail.com>

**RE: st: RE: Cluster standard errors by time and firm***From:*sebas nicaise <sebasnicaise@hotmail.com>

**RE: st: RE: Cluster standard errors by time and firm***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: st: RE: Cluster standard errors by time and firm***From:*sebas nicaise <sebasnicaise@hotmail.com>

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