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


From   Roberto Liebscher <[email protected]>
To   [email protected]
Subject   Re: st: Double Clustered Standard Errors in Regression with Factor Variables
Date   Fri, 23 Aug 2013 09:13:30 +0200

Thanks, Joerg. This perfectly did the job.

Am 22.08.2013 18:16, schrieb Joerg Luedicke:
Why not just creating a set of indicator variables and use those? For example:

tab year, gen(y)

Joerg

On Thu, Aug 22, 2013 at 11:50 AM, Roberto Liebscher
<[email protected]> wrote:
Apologies for not giving the source of the code. I got the ado-file from the
Doug Miller's Stata code page:

http://old.econ.ucdavis.edu/faculty/dlmiller/statafiles/

Thanks for the idea with the xi: extension. It works fine with the example
file I gave. However with the actual dataset I am working with it still
returns the mentioned error message.

Am 22.08.2013 17:12, schrieb Nick Cox:

You don't say where you got the program file, but a look at

http://gelbach.law.yale.edu/~gelbach/ado/cgmreg.ado

confirms that. Time series operators were not implemented and factor
variables were not even in Stata when the program was written, if I
recall correctly. Try running it under -xi:-.


Nick
[email protected]


On 22 August 2013 15:57, 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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--
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/

*
*   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/
*
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*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


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