Hi Guys,
I am trying to estimate a cross-sectional regression where the observations
are not independent. I have the performance of a large number of investors
as the dependent variable and various investor characteristics (Age, Income,
Gender, etc.) are independent variables. Because the performance of ALL
investors would be influenced by the market, the performance measures are
correlated.
How can I estimate the cross-sectional regression, where I can control for
this potential non-independence? I don't think the "robust" option takes
into account this cross-sectional dependence. The "cluster" option might
take care of this but I don't know how the performance might be clustered.
Is there any way of taking care of this problem in Stata?
Thanks very much for your help.
Regards, Alok
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