GLS could work. There are a host of corClass functions for spatial and serial correlations in this package. Or you could specify firm as a grouping factor and use lmer() found in the Matrix package. -----Original Message----- From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Tobias Muhlhofer Sent: Tuesday, August 23, 2005 12:37 PM To: r-help at stat.math.ethz.ch Subject: [R] clustering of disturbances Hi! I have a dataset of properties that are owned by different firms, each firm owning multiple properties. I am running a regression of holding period (how long a property was held in a firm's portfolio) on the left, and a bunch of factors on the right. When calculating standard errors, I would like to cluster my disturbance terms by firm. Any ideas on how to do this? I'm guessing gls() from nlme, but what sorts of options? Toby ______________________________________________ R-help at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
clustering of disturbances
1 message · Doran, Harold