search for: vcovscc

Hello again Max. A correction to my response from yesterday. Things were better than they seemed. I thought it over, checked Arellano's panel book and Driscoll and Kraay (Rev. Econ. Stud. 1998) and finally realized that vcovSCC does what you want: in fact, despite being born primarily for dealing with cross-sectional correlation, 'SCC' standard errors are robust to "both contemporaneous and lagged cross-sectional correlation", of which serial correlation is a special case (lagged correlation of u_is with...

...ass = "plm") [1] ercomp fixef has.intercept model.matrix [5] pFtest plmtest plot pmodel.response [9] pooltest predict residuals summary [13] vcovBK vcovDC vcovG vcovHC [17] vcovNW vcovSCC see '?methods' for accessing help and source code > methods(class = "panelmodel") [1] deviance df.residual fitted has.intercept index [6] nobs pbgtest pbsytest pcdtest pdim [11] pdwtest phtest print pwartest pw...

...> [1] ercomp fixef has.intercept model.matrix > [5] pFtest plmtest plot pmodel.response > [9] pooltest predict residuals summary > [13] vcovBK vcovDC vcovG vcovHC > [17] vcovNW vcovSCC > see '?methods' for accessing help and source code >> methods(class = "panelmodel") > [1] deviance df.residual fitted has.intercept index > [6] nobs pbgtest pbsytest pcdtest pdim > [11] pdwtest phtest print...

...nerali.net> Content-Type: text/plain; charset="iso-8859-1" Hello again Max. A correction to my response from yesterday. Things were better than they seemed. I thought it over, checked Arellano's panel book and Driscoll and Kraay (Rev. Econ. Stud. 1998) and finally realized that vcovSCC does what you want: in fact, despite being born primarily for dealing with cross-sectional correlation, 'SCC' standard errors are robust to "both contemporaneous and lagged cross-sectional correlation", of which serial correlation is a special case (lagged correlation of u_is with...