[R] clustering of disturbances

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


Hi!

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?

Toby



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