R help - Sep 2008 - How to do Clustered Standard Errors for Regression in R?

I can't seem to find the right set of commands to enable me to do perform a
regression with cluster-adjusted standard-errors. There seems to be nothing
in the archives about this -- so this thread could help generate some useful
content.

I've searched everywhere. Can anyone point me to the right set of commands?
An example would be most helpful as well.

Bo

	[[alternative HTML version deleted]]

Bo,

Try using RSiteSearch with the strings 'huber-white', 'sandwich'
or
even 'clustered standard errors'.

You may also want to consider a mixed models approach -- see:

http://www.stat.columbia.edu/~cook/movabletype/archives/2007/11/clustered_stand.html

HTH,

Kingsford Jones



On Tue, Sep 16, 2008 at 12:01 PM, Bo Cowgill <bolc at stanfordalumni.org>
wrote:
> I can't seem to find the right set of commands to enable me to do
perform a
> regression with cluster-adjusted standard-errors. There seems to be nothing
> in the archives about this -- so this thread could help generate some
useful
> content.
>
> I've searched everywhere. Can anyone point me to the right set of
commands?
> An example would be most helpful as well.
>
> Bo
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

Hi Bo,
>> I can't seem to find the right set of commands to enable me to do
perform
>> a
>> regression with cluster-adjusted standard-errors.
Frank Harrell's Design package has ?bootcov and ?robcov, which will both do
it.

Regards, Mark.


Bo Cowgill wrote:
> 
> I can't seem to find the right set of commands to enable me to do
perform
> a
> regression with cluster-adjusted standard-errors. There seems to be
> nothing
> in the archives about this -- so this thread could help generate some
> useful
> content.
> 
> I've searched everywhere. Can anyone point me to the right set of
> commands?
> An example would be most helpful as well.
> 
> Bo
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 
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Hi Bo,

See the following blog post:

http://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/
http://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/ 

where I calculate clustered standard errors in R.  The result is the same as
the "cluster" command in Stata.  I had to figure this out to do some
homework assignments for my econometrics class.

Best,
Kevin



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