[R] Huber-white cluster s.e. after optim?

From: Peter Muhlberger <peter.muhlberger_at_gmail.com>
Date: Wed, 09 Apr 2008 19:15:36 -0500


I've used optim to analyze some data I have with good results, but need to correct the var-cov matrix for possible effects of clustering of observations (respondents) in small groups (non-independence). Is there any function to adjust the matrix? I heard some time ago that the vcovHC function would have a cluster capability added to it, but I don't see that in my fairly recent version.

Cheers, Peter



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