[R] clustering of disturbances

From: Tobias Muhlhofer <t.muhlhofer_at_lse.ac.uk>
Date: Wed 24 Aug 2005 - 02:37:09 EST


I have a dataset of properties that are owned by different firms, each firm owning multiple properties. I am running a regression of holding period (how long a property was held in a firm's portfolio) on the left, and a bunch of factors on the right.

When calculating standard errors, I would like to cluster my disturbance terms by firm. Any ideas on how to do this?

I'm guessing gls() from nlme, but what sorts of options?


R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Aug 24 02:41:31 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:39:55 EST