[R] Clustered standard errors in a panel

Spencer Graves spencer.graves at pdf.com
Thu Jul 21 08:28:13 CEST 2005

	  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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Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
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spencer.graves at pdf.com
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