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st: Double Clustered Standard Errors in Regression with Factor Variables


From   Roberto Liebscher <[email protected]>
To   [email protected]
Subject   st: Double Clustered Standard Errors in Regression with Factor Variables
Date   Thu, 22 Aug 2013 16:57:22 +0200

Dear Statalisters,

I am trying to conduct a regression with double clustered standard errors in the sense of Cameron/Gelbach/Miller, Robust Inference with Multi-way Clustering, 2009. However the ado.file provided by the authors seem only to work in the absence of factor variables. To give an example:

use http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.dta, clear
cgmreg y x, cluster(firmid year)
cgmreg y x i.year, cluster(firmid year)

The last command yields an error message saying: "factor variables and time-series operators not allowed"

Is there a way around this or a similar command that allows for factor variables?

Any help is highly appreciated. Thank you!

Roberto

--
Roberto Liebscher
Catholic University of Eichstaett-Ingolstadt
Department of Business Administration
Chair of Banking and Finance
Auf der Schanz 49
D-85049 Ingolstadt
Germany
Phone:  (+49)-841-937-1929
FAX:    (+49)-841-937-2883
E-mail:   [email protected]
Internet: http://www.ku.de/wwf/lfb/

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