[R] Clustered Standard Errors?

Achim Zeileis Achim.Zeileis at uibk.ac.at
Mon Nov 16 18:48:09 CET 2015

On Mon, 16 Nov 2015, Ignacio Martinez wrote:

> Hi,
> I found this
> <https://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/>
> post
> from 2011 for doing clustered standard errors in R.
> Is there any update to the lm package that allows to do this without 
> having to write your own function? In STATA is as simple as adding 
> cluster to the reg command.

For "lm" objects, the easiest solution is to use the "multiwayvcov" 
package on CRAN.

Additionally, the "plm" package on CRAN offers further options beyond the 
simple clustered standard errors.

> Thanks a lot for the help!
> Ignacio
> 	[[alternative HTML version deleted]]
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

More information about the R-help mailing list