Re: [R] clustering of disturbances

From: Doran, Harold <HDoran_at_air.org>
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-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Tobias Muhlhofer Sent: Tuesday, August 23, 2005 12:37 PM
To: r-help@stat.math.ethz.ch
Subject: [R] clustering of disturbances

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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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 02:47:31 2005

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