Clustered standard error
Posted: Mon Jul 14, 2014 9:56 am
Hello,
Currently I am writing my master thesis. I have data from a field experiment and I also want to use clustered robust standard errors. The standard errors are clustered and robust. The problem is, that I also need to weight the regressions to correct for oversampling. I did the weighting with the normal Options button in Equation Estimation. To get clustered robust standard errors I changed the workfile structure to undated panel, I selected an identification series and as coefficient covariance method I selected White period (like I have read in the eviews forum). The problem is that I can´t weight the regression anymore with this method. So do you have an idea how I can weight the regression and get clustered robust standard errors with one equation?
Thanks a lot in advance
Fran
Currently I am writing my master thesis. I have data from a field experiment and I also want to use clustered robust standard errors. The standard errors are clustered and robust. The problem is, that I also need to weight the regressions to correct for oversampling. I did the weighting with the normal Options button in Equation Estimation. To get clustered robust standard errors I changed the workfile structure to undated panel, I selected an identification series and as coefficient covariance method I selected White period (like I have read in the eviews forum). The problem is that I can´t weight the regression anymore with this method. So do you have an idea how I can weight the regression and get clustered robust standard errors with one equation?
Thanks a lot in advance
Fran