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


From   Judson Caskey <Judson.Caskey@mccombs.utexas.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: RE: st: RE: Cluster standard errors by time and firm
Date   Thu, 14 Jun 2012 17:47:06 -0500

I have a couple of commands posted at https://webspace.utexas.edu/jc2279/www/data.html that will perform the two-way clustering (see 'cgmreg' commands, as in Cameron, Gelbach and Miller, 2010 Jnl of Bus. and Econ. Statistics), but you do need to mind the issues that others have raised regarding the number of time periods because the clustered standard errors are consistent as the number of clusters becomes unbounded.

There are a couple of approaches you can take using the commands that I've posted. In the cgmreg command, you can put a "max" option that takes the larger of two-way clustered, White, or vanilla OLS standard errors. The cgmwildboot command uses bootstrapped p-values.

Judson Caskey
judson.caskey@mccombs.utexas.edu



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