I want to use clustered standard error in eveiws.

[chanikjo]

Hello everybody~

I am now making my master thesis.

My data is panel data and I use probit estimation.

In order for my data set to be robust to heteroscedasticity, I try to estimate OLS with clustered standard errors(Rogers standard errors).

if I estimate using OLS model, there is White period(Panel option --> coefficient covariance method). Is 'White period' same with standard errors clustered by firm??

Is there any way to estimate OLS with clustered standard errors(rogers standard errors) in eviews?

Please help me~ T.T

[trubador]

http://forums.eviews.com/viewtopic.php?f=4&t=9895

[chanikjo]

viewtopic.php?f=4&t=9895 <-- this is question I asked regarding probit model with clustered standard error.

I want to ask whether 'White by period' in eviews produces same standard error with clustered standard error by firm.

If there is anyone who knows this well, please let me know!! :)

[EViews Glenn]

Clustered by whatever the cross-section identifier might be.

http://forums.eviews.com/viewtopic.php? ... iod#p32458
http://forums.eviews.com/viewtopic.php? ... ite+period