Re: [R] Clustered standard errors in a panel

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Thu 21 Jul 2005 - 16:28:13 EST

          Have you considered "lmer" in library(lme4)? If you are interested in this, you may want to check the article by Doug Bates in the latest R news, www.r-project.org -> Documentation: Newsletter.

          spencer graves

Thomas Davidoff wrote:

> I want to do the following:
>
> glm(y ~ x1 + x2 +...)
> within a panel. Hence y, x1, and x2 all vary at the individual
> level. However, there is likely correlation of these variables
> within an individual, so standard errors need adjustment.
> I do not want to estimate fixed effects, but do want to cluster
> standard errors at the individual level.
> Is there an automated way to do this? Nothing in the cluster
> documentation makes it clear that there is.
>
> (An alternative is to do this by hand. In that case, I would need to
> be able to calculate weighted sums of x1 and x2... at the individual
> level. I can do this at the variable level [with lapply,split and
> unsplit], but would love to be able to do so over the matrix of x's.
> Of course, doing by hand is less easy than an automated solution if
> it exists.)
>
>
> Thomas Davidoff
> Assistant Professor
> Haas School of Business
> UC Berkeley
> Berkeley, CA 94720
> phone: (510) 643-1425
> fax: (510) 643-7357
> davidoff@haas.berkeley.edu
> http://faculty.haas.berkeley.edu/davidoff
>
>
> [[alternative HTML version deleted]]
>
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-- 
Spencer Graves, PhD
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Received on Thu Jul 21 16:40:21 2005

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