I am running my baseline regressions using OLS method with Petersen (2009) two-dimensional clustered robust standard errors at firm level and year level. "This is a robust method and adjust standard errors for potential heteroscedasticity, cross-sectional and time-series dependence thus improving the accuracy of our estimates". my code is as follows:
ivreg2 depvar indepvar , cluster(firmID Time)
Now , I intend to run 2SLS regression with some exogenous instruments to mitigate endogeneity. Is it possible to adjust standard errors of my 2SLS regression in the same way as above? More specifically I want my SE to be adjusted for potential heteroscedasticity, cross-sectional and time-series dependence similar to Petersen (2009) approach as above. Thanks.
Related Posts with cluster standard errors at firm level and year level in 2SLS
stata questionHi all, I would like to know how to subtract some observation from one variable. Some of them are l…
coefplot omits one of the coefficients in visualizingI am plotting coefficients of regression analyses and one of the models has an interaction term betw…
Generating Dummy variable for two consecutive years with the condition that the dummy will be equal to a percentage of another variableHello everyone, I am trying to construct an overconfidence measure, namely Holder 67. The director w…
lclogit2: Problem with [if] conditionDear Prof. Yoo (and all others), I am currently trying to use lclogit2 to conduct a Latent Class An…
Lag variable creationDear all, I have a dataset that contains a precise time when an observation was made ( formated as …
Subscribe to:
Post Comments (Atom)
0 Response to cluster standard errors at firm level and year level in 2SLS
Post a Comment