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st: Serial Correlation and Clustering in Time problem
I have a large panel dataset (~48,000 observations) and my OLS
regression suffers from serial correlation (over time by firm) and
correlation by time period (across firms in a given point in time). I
can solve the first problem using the Newey command and can solve the
second problem using the cluster() command but I'm not sure how to
simultaneously correct my standard errors for both of these biases at
the same time.
Any ideas? Many thanks in advance for any help.
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