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 9 clustered standard errors
Moderators: EViews Gareth, EViews Moderator
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- EViews Developer
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Re: Eviews 9 clustered standard errors
You want White period as this allows for within cross section between period correlation.
Yes. http://www.eviews.com/EViews10/ev10ecest_n.html#cluster
Yes. http://www.eviews.com/EViews10/ev10ecest_n.html#cluster
Re: Eviews 9 clustered standard errors
Thank you Glenn.
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