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st: Regression with clustered robust standard errors


From   Alberto Valzolgher - 1577733 <alberto.valzolgher@studbocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: Regression with clustered robust standard errors
Date   Tue, 11 Feb 2014 11:45:28 +0100 (CET)

Dear statalist,

I am conducting a research on stock market first day return, and I'd like
to regress with clustered robust standard errors, clustering by year and
industry.

For this purpose I am using the option vce(cluster YEAR). My question is,
does the system consider just one cluster (YEAR) or it considers the n
years in the YEAR variable as clusters (in my output is written s.e. adj.
for 11 clusters in YAER)?
I think the second interpretation is correct but my supervisors told me i
should specificate in the cluster option all the clusters e.g. cluster
(2001 2002 2003...).

Thank you very much for your help

Alberto
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