[R] Replicating Stata's xtreg clustered SEs in R

[Thomas Lumley]

On Mon, Mar 12, 2012 at 5:55 PM, David A. Kim <david_kim at hms.harvard.edu> wrote:

> Does anyone happen to know what method cluster() for Stata's xtreg
> uses to calculate clustered SEs for panel data, and/or how this could
> be implemented equivalently in R?  Any help would be much appreciated.

The Stata manuals usually say exactly how they compute things (unlike
most software).


   -thomas

-- 
Thomas Lumley
Professor of Biostatistics
University of Auckland