Hello everyone!
I'm currently running a multi-way fixed effect regression using the command reghdfe. As I have data which is clustered on two dimensions I went through the classical paper by Cameron, Gelbach and Miller on the topic. To the best of my understanding, the two-way clustering estimator they describe in the article can be implemented on Stata using (this is just one of the possible solutions of course) as
reghdfe depvar indepvars, a(fe1 fe2) vce(cluster c1#c2)
However, I've noticed that there exists the possibility of running the following command
reghdfe depvar indepvars, a(fe1 fe2) vce(cluster c1 c2)
Here is my doubt: what kind of clusterisation does vce(cluster c1 c2) imply and in which sense does it differ from vce(cluster c1#c2)?
Thanks for your help,
Filippo
Related Posts with Different way of clustering with reghdfe
no observations error for regressing two IVs that are mutually exclusiveDear Statalist, I have a dataset with European and non-European countries. I define "europe" as: C…
biprobit with two endogenous variableDear Statalist users, I am trying to estimate a model where both dependent (y) and two endogenous v…
Eventstudy2 command issue with merging datastetsDear statalist, I am trying to use the estudy2 command This is the command I run eventstudy2 set da…
obsdiff commandHello everyone, I have a large dataset with many duplicates across different variables. I am trying …
comparing bayesian models with WAICHi Stata Users, the Watanabe-Akaike Information Criterion (WAIC) is a good choice for comparing bay…
Subscribe to:
Post Comments (Atom)
0 Response to Different way of clustering with reghdfe
Post a Comment