Petersen 2009 two way cluster of standard erro
Posted: Sun Aug 06, 2017 3:51 pm
Hi
I am working on unbalanced data in e-views 10, I am trying to apply Peterson (2009) or as you refer in your website and guide II as Petersen (2009) cluster by firm and year, I found a useful information in the following help link:http://www.eviews.com/help/helpintro.html#page/content/Regress2-Robust_Standard_Errors.html
but my questions are:
1- is this is available only in pooled data not panel data.
2- Could I use Period SUR (PCSE) method in stead as robust as I want to cluster by cross section only
3- If not, How could I convert my attached panel work file to pooled work file.
Thanks in advance
I am working on unbalanced data in e-views 10, I am trying to apply Peterson (2009) or as you refer in your website and guide II as Petersen (2009) cluster by firm and year, I found a useful information in the following help link:http://www.eviews.com/help/helpintro.html#page/content/Regress2-Robust_Standard_Errors.html
but my questions are:
1- is this is available only in pooled data not panel data.
2- Could I use Period SUR (PCSE) method in stead as robust as I want to cluster by cross section only
3- If not, How could I convert my attached panel work file to pooled work file.
Thanks in advance