如何进行Cluster处理？

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  最近看文献发现“为了控制潜在的异方差和序列相关问题，我们对所有回归系数的标准误都在公司层面上进行Cluster处理。”本人才疏学浅不知道如何进行Cluster处理，如果我在公司层面上进行Cluster处理，使用两阶段系统GMM估计，该如何写命令？
      我的命令：xtabond2  A L(1/2).A L(0/2).B C,gmm(L.A)  small twostep
      其中，A为解释变量，B、C为解释变量，Firm为公司代码

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关键词：Cluster CLU twostep XTABOND Small 如何

you don't have to worry about "cluster issue" at this point as long as the unit of your panel data is firm.

大白菜2012 发表于 2012-10-13 18:09
you don't have to worry about "cluster issue" at this point as long as the unit of your panel data i ...

多谢，主要是因为审稿专家提出了修改意见，建议我对省级层面进行Cluster处理。请多指教啊

yuanhu 发表于 2012-10-14 15:40
多谢，主要是因为审稿专家提出了修改意见，建议我对省级层面进行Cluster处理。请多指教啊

you may try "xtabond2", which has a "cluster" option.

大白菜2012 发表于 2012-10-14 21:59
you may try "xtabond2", which has a "cluster" option.

多谢大白菜

大白菜2012 发表于 2012-10-14 21:59
you may try "xtabond2", which has a "cluster" option.

请问你哦，我用的是面板数据FE,怎么cluster省 呢？stata显示 ：
xtset firm year
xtreg  A B C, fe vce(cluster pro_code)
panels are not nested within clusters
r(498);

谢谢！！

angelatao 发表于 2012-10-16 20:07
请问你哦，我用的是面板数据FE,怎么cluster省 呢？stata显示 ：
xtset firm year
xtreg  A B C, fe v ...

你的问题可能是某个firm既在A省，又在B省。（cluster为省）。抑或year

see the explaination below,

Say your panels were states.  You could cluster by regions (groups ofstates), because all observations in one panel (a state) are also all inthe same cluster (a region).  This is what is meant by "panels arenested within clusters".You could cluster by state, because again all observations in one panel(a state) are also in the same cluster (the very same state).But you could not cluster by year, because some observations in onepanel (say State X) might be found in one cluster (say 2001) and someothers from the same panel (again State X) could be found in a differentcluster (say 2002).
----http://www.stata.com/statalist/archive/2008-12/msg00036.html

大白菜2012 发表于 2012-10-16 22:11
你的问题可能是某个firm既在A省，又在B省。（cluster为省）。抑或year

see the explaination below, ...

I'm clear ~~Thank you so much!!!

学习了 ！！

大白菜2012 发表于 2012-10-14 21:59
you may try "xtabond2", which has a "cluster" option.

xtabond2中不能附带cluster选项啊