[R] Clustered Standard Errors?

[Lorenz, Jennifer]

Hi Ignacio, 

following this link: http://www.ne.su.se/polopoly_fs/1.216115.1426234213!/menu/standard/file/clustering1.pdf you can download a documentation for Arai's cl-function that is mentioned in the link in your email. I used it several times and it works quite well. Just copy the function into your script and call it after you calculated your regression using the following command: 
cl(data, regression-model, cluster-variable) 

Best 
Jen 



-----Ursprüngliche Nachricht-----
Von: R-help [mailto:r-help-bounces at r-project.org] Im Auftrag von Achim Zeileis
Gesendet: Montag, 16. November 2015 18:48
An: Ignacio Martinez <ignacio82 at gmail.com>
Cc: r-help <r-help at r-project.org>
Betreff: Re: [R] Clustered Standard Errors?

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]]
>
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