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

From: Peter Muhlberger <peter.muhlberger_at_gmail.com>
Date: Thu, 10 Apr 2008 00:36:57 -0500

Hi Bill: Thanks for the reply! As you've no doubt guessed, I'm not a  statistician (I'm a social scientist). I hadn't given thought to  modeling the cluster-based covariance explicitly--interesting  possibility. My responses are drawn from some 60 discussion groups,  and a critic of my current results might complain that there could be  error covariation within group (though I suspect there probably  isn't). In Stata, the ml routine has a 'cluster' option that  generates Huber-White cluster standard errors for max. likelihood  estimates. I was hoping something similar would be possible in R. I  suppose another solution would involve specifically modeling error  covariance in optim, but it would be helpful if there was some example  of how to do this that I could examine.

 Another, related problem I face is correcting for clustering in a  system of equations, estimated with systemfit using the OLS option (I  need to simultaneous estimation for subsequent hypothesis testing;  would be using SUR but for the cluster issue). It seems that both  this problem and my optim problem might be solved if there was  something in R like a vcovHC that could handle clustered data--but  that's just a non-statistician's guess.

 Peter



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