Clustered SE
Posted: Wed Nov 28, 2018 8:30 am
The White estimators described here http://www.eviews.com/help/helpintro.ht ... clustering 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?
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?