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

Thomas Lumley tlumley at uw.edu
Mon Mar 12 21:07:10 CET 2012

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 Lumley
Professor of Biostatistics
University of Auckland

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