Re: [Gretl-users] panel model news 2
On Mon, 4 Apr 2016, Allin Cottrell wrote:
An addendum to
http://lists.wfu.edu/pipermail/gretl-users/2016-March/011726.html
On studying the Cameron and Miller piece on clustered variance estimation
(JHR, 2015) [...]
One more point to mention in that context. For clustered standard
errors in the fixed effects case we're now using the finite-sample
adjustment described by Cameron and Miller (and used by Stata), namely
sqrt((G/(G-1)) * (n-1)/(n-k))
where G is the number of groups or clusters, n is the total number of
observations and k is the number of regressors. This is multiplied
into the covariance matrix. It will make a relatively noticeable
difference (larger std errors) if G is small.
Allin