Hi everyone,
I am new to using reghdfe. I am running a regression in which I am using absorbing with fixed effects two variables. I am also clustering the errors on those two variables. I get large t-stats such as 4.73 for which the p-value is only 0.018. Why is it that the p-values are not as we would get with a regular regression? I tried canceling the error clustering and using just robust and that resulted in the p-values and t-stats being aligned to what you'd normally see.
Thanks for your help in understanding this issue.
I am new to using reghdfe. I am running a regression in which I am using absorbing with fixed effects two variables. I am also clustering the errors on those two variables. I get large t-stats such as 4.73 for which the p-value is only 0.018. Why is it that the p-values are not as we would get with a regular regression? I tried canceling the error clustering and using just robust and that resulted in the p-values and t-stats being aligned to what you'd normally see.
Thanks for your help in understanding this issue.
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