Dear Statalist
I am struggling to find codes for the difference between regression coefficients of two groups with two-way clusters. I am using panel data with clustered standard errors across firms and year. I understand we can use suest with simple regression but this does not work for clustered standard errors two dimensional.
The regression model I am using is following Petersen (2005):
Cluster2 Y X1 X2 X3 if variable=1, fcluster(firm) tcluster (year)
Cluster2 Y X1 X2 X3 if variable=0, fcluster(firm) tcluster (year)
Can someone please provide help on this?
Regards
Sara
I am struggling to find codes for the difference between regression coefficients of two groups with two-way clusters. I am using panel data with clustered standard errors across firms and year. I understand we can use suest with simple regression but this does not work for clustered standard errors two dimensional.
The regression model I am using is following Petersen (2005):
Cluster2 Y X1 X2 X3 if variable=1, fcluster(firm) tcluster (year)
Cluster2 Y X1 X2 X3 if variable=0, fcluster(firm) tcluster (year)
Can someone please provide help on this?
Regards
Sara