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| From | thomas bourveau <thomas.bourveau@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Petersen (2009) vs Thompson (2011) - Estimating standard errors in panel data sets |
| Date | Tue, 4 Dec 2012 21:33:20 +0100 |
Dear Roger, I have a similar question on my current project, so I get your point and here are the full references of the abovementioned paper : - Petersen, M. A. (2009) "Estimating standard errors in finance panel data sets: Comparing approaches" Review of Financial Studies, vol. 22 pp. 435-480. - Thompson, S. B. (2011) "Simple formulas for standard errors that cluster by both firm and time" Journal of Financial Economics, vol. 99 pp. 1-10. 2012/12/4 Roger B. Newson <r.newson@imperial.ac.uk>: > It is probably a good idea here to give the references in full, ie with the > journal title, volume and pages. Otherwise, very few of us will know which > paper you are referring to. > > Best wishes > > Roger > > Roger B Newson BSc MSc DPhil > Lecturer in Medical Statistics > Respiratory Epidemiology and Public Health Group > National Heart and Lung Institute > Imperial College London > Royal Brompton Campus > Room 33, Emmanuel Kaye Building > 1B Manresa Road > London SW3 6LR > UNITED KINGDOM > Tel: +44 (0)20 7352 8121 ext 3381 > Fax: +44 (0)20 7351 8322 > Email: r.newson@imperial.ac.uk > Web page: http://www.imperial.ac.uk/nhli/r.newson/ > Departmental Web page: > http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/ > > Opinions expressed are those of the author, not of the institution. > > > On 04/12/2012 17:45, Julia Ke wrote: >> >> Dear Statalist, >> >> I am running a panel regression. It is a rather small sample with multiple >> firms and a few years. >> >> I was reading into which method to use, which came down to the following: >> If one dimension has far more units than the other, clustering on one >> dimension and using dummies on the other seems to be used (especially in >> smaller panels). >> >> My question concerns which unit to cluster and which one to use dummies >> on. The below two authors seem to state the opposite which is confusing me a >> bit... >> >> Petersen (2009): "Since most panel data sets have more firms than years, >> the most common approach is to include dummy variables each year (to absorb >> the time effect) and then cluster by firm." >> "When there are only a few clusters in one dimension, clustering by the >> more frequent cluster yields results that are almost identical to clustering >> by both firm and time." >> >> Thompson (2011): If there are far more firms than time periods, clustering >> by time eliminates most of the bias unless within-firm correlations are much >> larger than within-time period correlations. >> >> Many thanks in advance, >> Julia >> >> >> >> Papers mentioned: >> Petersen (2009), "Estimating Standard Errors in Finance Panel Data Sets" >> Thompson (2011), "Simple Formulas for Standard Errors that Cluster by Both >> Firm and Time" >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ >> > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ -- Thomas Bourveau thomas.bourveau@gmail.com 0637573925 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/