[Joao Santos Silva]

Dear Francesco Rossi,

In that context, units are unlikely to be independent and therefore clustering is indeed a poor solution. I guess you will have to code that (and maybe make it available in SSC?).

Best wishes,

Joao

[Francesco Rossi]

Dear Joao Santos Silva,

I'll give it a try, and if I succeed, I'll make it available on SSC. However, I'm not very comfortable writing complicated programs in Stata on my own—I prefer R.

How much effort do you think it would take to implement your estimator in R?

Thanks again for your suggestions!

Best,
Francesco

[Joao Santos Silva]

Dear Francesco Rossi,

The estimator is very easy to implement, so it would be easy to do in R. If you do it and make it available, please let me know and I'll put a link in my page.

Best wishes,

Joao