[Limdep Nlogit List] Clustering standard errors in a panel data set
d.lee at business.uq.edu.au
Mon Jul 12 14:51:12 EST 2010
We are using a panel set and we want to control for firm and time
effects using monthly financial data. There is a paper in the Review of
Financial Studies by Petersen (2009) which suggests correcting for
correlation across these dimensions by clustering the standard errors.
We have found a clustering command in Limdep, i.e. $ Cluster=(cluster
variable) but need to simultaneously cluster on both firm and time
effects. Please advise us on how to code clustering across two variables
(both time and firm).
Also - does the cluster command in Limdep provide the same outcome as
the panel data command such as:
However, it appears that the panel data option only allows for one
stratification (i.e. clustering) variable.
Any help appreciated. Thanks in advance for your advice.
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