Re: [R] clustering of disturbances

From: Doran, Harold <>
Date: Wed 24 Aug 2005 - 02:42:59 EST

GLS could work. There are a host of corClass functions for spatial and serial correlations in this package. Or you could specify firm as a grouping factor and use lmer() found in the Matrix package.

-----Original Message-----
[] On Behalf Of Tobias Muhlhofer Sent: Tuesday, August 23, 2005 12:37 PM
Subject: [R] clustering of disturbances


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 mailing list PLEASE do read the posting guide! mailing list PLEASE do read the posting guide! Received on Wed Aug 24 02:47:31 2005

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