[Limdep Nlogit List] Clustering standard errors in a panel data set

Darren Lee 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.

Best Regards,

Darren Lee

More information about the Limdep mailing list