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st: dummy variables with option cluster()
From
"Duy" <[email protected]>
To
<[email protected]>
Subject
st: dummy variables with option cluster()
Date
Fri, 6 May 2011 09:46:39 +0200
Dear all,
I have a set of variables for bond issuers and one goal of my regression is
to measure the effect of the issuers on the bonds' spreads .
Therefore, I computed a regression with issuer fixed effects generating
issuer dummies and in addition have the option cluster(issuer).
My command looks like this:
reg spread AA A BBB NR i.issuer, cluster(issuer)
Since stata drops the F-values in my model, I wanted to ask you if it is
wrong in terms of econometrics to cluster the variables if I already have
dummy variables?
Thank you for your help!
Kind regards,
Duy
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