Eviews 9 clustered standard errors

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oksanakim
Posts: 39
Joined: Wed Apr 04, 2012 10:38 am

Eviews 9 clustered standard errors

Postby oksanakim » Thu Nov 02, 2017 10:43 am

Dear Moderators

I am using Eviews 9 currently and am working with Undated/Unstructured panel. I need to estimate an OLS with se clustered at firm level. I did the follows: modified the structure of the file by specifying Firm ID as a Identifier Series. Then, when estimating the regression, in the Panel option I left "none" in both the cross-section and time-periods field. I also chose "white cross-section" in the "coefficient covariance method". Did I do it correctly? Please just say Yes or No:-).

Also, do I correctly understand that in Eviews 10 clustering estimation is made much easier and that there are drop down boxed upon OLS estimation that allow choosing a clustering variable? Thank you!!

EViews Glenn
EViews Developer
Posts: 2555
Joined: Wed Oct 15, 2008 9:17 am

Re: Eviews 9 clustered standard errors

Postby EViews Glenn » Mon Nov 13, 2017 11:15 pm

You want White period as this allows for within cross section between period correlation.

Yes. http://www.eviews.com/EViews10/ev10ecest_n.html#cluster

oksanakim
Posts: 39
Joined: Wed Apr 04, 2012 10:38 am

Re: Eviews 9 clustered standard errors

Postby oksanakim » Wed Nov 15, 2017 11:39 am

Thank you Glenn.


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