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From | Nick Cox <njcoxstata@gmail.com> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Regression with clustered robust standard errors |
Date | Tue, 11 Feb 2014 12:22:44 +0000 |
You are correct and your supervisors are wrong. The syntax is clear: Stata expects a variable name. Nick njcoxstata@gmail.com On 11 February 2014 10:45, Alberto Valzolgher - 1577733 <alberto.valzolgher@studbocconi.it> wrote: > 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...). * * 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/