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st: RE: RE: difference between robust and cluster option
From
"Ma, Guang" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: RE: difference between robust and cluster option
Date
Fri, 16 Jul 2010 05:18:35 +0000
The coefficients estimated should be the same, since they are unbiased under both "robust" and "cluster", but the t-values and standard errors should differ. You may still get the same t-values, though, depending on your data and cluster variables.
Guang Ma
Accounting Department
The University of Texas at Dallas
School of Management, SM41
Richardson, TX 75080
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Jing Zhou
Sent: Friday, July 16, 2010 12:09 AM
To: [email protected]
Subject: st: RE: difference between robust and cluster option
thank you for your advisement. I tried cluster and robust in FE model individually, but the results are exactly the same. if "robust" only control for heteroskedasiticity while "cluster" for heteroskedasticity and serial correlation, why there is no difference between the two regressions?
>>> "Ma, Guang" <[email protected]> 16/07/2010 2:54 pm >>>
Anyone is welcomed to correct me if I made any mistake.
I think cluster can take good care of both heteroskedasticity and serial correlation, as long as you cluster in a panel way. "robust" is just heteroskedasticity consistent since it uses 1/(1-h)^2 as weights. Check this paper: Petersen, M. A. 2009. "Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies 22 (1): 435-480.
Guang Ma
Accounting Department
The University of Texas at Dallas
School of Management, SM41
Richardson, TX 75080
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Jing Zhou
Sent: Thursday, July 15, 2010 8:34 PM
To: [email protected]
Subject: st: difference between robust and cluster option
To control for the heteroskedasticity and serial correlation in FE and RE models, do I need to add only "robust" or both "robust"and "cluster" option in the corresponding command? And after this remedy, is it unnecessary to worry about the two problems?
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