R help - Jul 2005 - Clustered standard errors in a panel

I want to do the following:

glm(y ~ x1 + x2 +...)
within a panel.  Hence y, x1, and x2 all vary at the individual  
level.  However, there is likely correlation of these variables  
within an individual, so standard errors need adjustment.
I do not want to estimate fixed effects, but do want to cluster  
standard errors at the individual level.
Is there an automated way to do this?  Nothing in the cluster  
documentation makes it clear that there is.

(An alternative is to do this by hand.  In that case, I would need to  
be able to calculate weighted sums of x1 and x2... at the individual  
level.  I can do this at the variable level [with lapply,split and  
unsplit], but would love to be able to do so over the matrix of x's.   
Of course, doing by hand is less easy than an automated solution if  
it exists.)


Thomas Davidoff
Assistant Professor
Haas School of Business
UC Berkeley
Berkeley, CA 94720
phone:     (510) 643-1425
fax:        (510) 643-7357
davidoff@haas.berkeley.edu
http://faculty.haas.berkeley.edu/davidoff


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Have you considered "lmer" in library(lme4)?  If you are interested 
in this, you may want to check the article by Doug Bates in the latest R 
news, www.r-project.org -> Documentation:  Newsletter.

	  spencer graves

Thomas Davidoff wrote:
> I want to do the following:
> 
> glm(y ~ x1 + x2 +...)
> within a panel.  Hence y, x1, and x2 all vary at the individual  
> level.  However, there is likely correlation of these variables  
> within an individual, so standard errors need adjustment.
> I do not want to estimate fixed effects, but do want to cluster  
> standard errors at the individual level.
> Is there an automated way to do this?  Nothing in the cluster  
> documentation makes it clear that there is.
> 
> (An alternative is to do this by hand.  In that case, I would need to  
> be able to calculate weighted sums of x1 and x2... at the individual  
> level.  I can do this at the variable level [with lapply,split and  
> unsplit], but would love to be able to do so over the matrix of x's.   
> Of course, doing by hand is less easy than an automated solution if  
> it exists.)
> 
> 
> Thomas Davidoff
> Assistant Professor
> Haas School of Business
> UC Berkeley
> Berkeley, CA 94720
> phone:     (510) 643-1425
> fax:        (510) 643-7357
> davidoff at haas.berkeley.edu
> http://faculty.haas.berkeley.edu/davidoff
> 
> 
> 	[[alternative HTML version deleted]]
> 
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