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Re: st: Regression with clustered robust standard errors
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...).
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