黃河泉 发表于 2018-5-22 06:36
看不懂你的问题。
是这样的,我在使用行业、年份、地区作为固定效应的时候同时cluster了行业,做出来的结果显示如下:
Absorbed degrees of freedom:
---------------------------------------------------------------+
Absorbed FE | Num. Coefs. = Categories - Redundant |
-------------+-------------------------------------------------|
year | 11 11 0 |
hydd_f | 0 28 28 * |
dqcity_f | 287 288 1 |
---------------------------------------------------------------+
* = fixed effect nested within cluster; treated as redundant for DoF computation
我查了一下解释,解释如下:
A fixed effect is “nested within cluster” if the same variable is used in vce(cluster ...) and in absorb(...) or—more generally—if a cluster variable is coarser than a fixed effect variable. For instance, if we have state–clustered standard errors and county–level fixed effects, or with clustering by year and monthly fixed effects.
Whenever this happens, reghdfe will avoid applying a double penalty to the standard errors: it will continue to cluster by e.g. state but will not use the number of counties when computing the absorbed degrees of freedom.
但我还是不太明白,这个意思是cluster和固定效应中不能用同一个变量吗?