[回归分析求助] [急问] Two-way cluster in fixed effect model [推广有奖]

11楼

V_ere 发表于 2015-1-21 22:17:15

zm6040 发表于 2014-12-17 15:19
找了半天，没见到过答案，我提出我的方法吧，如果有谁能有更简便的方法，请告诉我，谢谢：
第一步，用byso ...

请问这个具体怎么做呢？

12楼

zm6040 发表于 2015-1-24 23:43:05

我之前的想法有误，
其实，同时用FEmodel和 2D cluster是有问题的，http://www.statalist.org/forums/forum/general-stata-discussion/general/240792-missing-standard-errors-when-running-2d-cluster-with-fixed-effects

下面伍德里奇的解释：“The problem also arises if you try to obtain standard errors of the cross section fixed effects when clustering at the cross section level. In effect, you are trying to compute a standard error for a sample average without putting any restrictions on the time series correlation. As time series people will tell you, this is impossible. Regrettably, this discussion did not make it into the second edition of my MIT Press book, "Econometric Analysis of Cross Section and Panel Data." It is in the slides that I use for the course. The two-way clustering is doing the same thing, and also trying to obtain a standard error for the time effects by allowing any correlation in the cross section dimension. The only reason you get numbers at all is because of the other covariates in the equation.

For a simple demonstration of the problem, use the command

reg srisk i.date, cluster(date)

and you will see standard errors essentially zero.

The only mystery is why the standard error on biz is not reported. You could try deviating the data from the cross sectional averages for each time period so that time effects are no longer needed in the cluster2 command. I'm not terribly optimistic, though. I suspect there is some special feature of the variation in biz that is causing the problem. JW”