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Clustered SE

Posted: Wed Nov 28, 2018 8:30 am
by chris_cl
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?