Clustered SE

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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chris_cl
Posts: 9
Joined: Tue Nov 27, 2018 2:18 am

Clustered SE

Postby chris_cl » Wed Nov 28, 2018 8:30 am

The White estimators described here http://www.eviews.com/help/helpintro.html#page/content%2Fpool-Pooled_Estimation.html%23ww187927%20allow%20clustering allow clustering over periods or cross sections.

I believe the clustering takes place on the lowest level. Is it possible to cluster on higher levels, e.g. cluster over quarters even if I use monthly data?

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