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Re: st: Double Clustered Standard Errors in Regression with Factor Variables


From   William Buchanan <[email protected]>
To   [email protected]
Subject   Re: st: Double Clustered Standard Errors in Regression with Factor Variables
Date   Thu, 22 Aug 2013 10:11:18 -0500

You could always modify their program to allow factor variables, but depending on the code this may be a non-trivial task.

HTH,
Billy



On Aug 22, 2013, at 9:57 AM, Roberto Liebscher <[email protected]> wrote:

> 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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