Petersen 2009 - Estimating standard errors in panel data sets

[summer mas]

Hello all,

I'm having some trouble at replicating this paper Peterson 2009 and have simulation.do file : http://www.kellogg.northwestern.edu/...g_Instructions
How can I report standard errors based on time Fixed Effects- cluster on only Time and and double clustered standard errors.?
The author posted a stripped down version of the simulation program. This program simulates a data set with a firm effect. I try to simulated a data set with a time fixed effect.

Thank you in advance!

[Andrew Musau]

See reghdfe from SSC which allows you to specify fixed effects via -absorb(fevar1 fevar2)- and cluster on one or multiple variables via - cluster(clustervar1 clustervar2)-

ssc install reghdfe, replace

[summer mas]

Thank you for your reply. I think I need to modify the simulation do file for time fixed effects. My question is how I can modify simulation.do to time fixed effects?

[Andrew Musau]

Sorry, I will not have time to look into that. I thought you just wanted advice on how to cluster on more than one dimension in a fixed effects regression. Maybe someone else in the forum may be able to help you. If not, you may want to contact the author for some guidance.