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How to do Clustered Standard Errors for Regression in R?
3 messages · Bo Cowgill, Kingsford Jones, Mark Difford
1 day later
Bo, Try using RSiteSearch with the strings 'huber-white', 'sandwich' or even 'clustered standard errors'. You may also want to consider a mixed models approach -- see: http://www.stat.columbia.edu/~cook/movabletype/archives/2007/11/clustered_stand.html HTH, Kingsford Jones
On Tue, Sep 16, 2008 at 12:01 PM, Bo Cowgill <bolc at stanfordalumni.org> wrote:
I can't seem to find the right set of commands to enable me to do perform a
regression with cluster-adjusted standard-errors. There seems to be nothing
in the archives about this -- so this thread could help generate some useful
content.
I've searched everywhere. Can anyone point me to the right set of commands?
An example would be most helpful as well.
Bo
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Hi Bo,
I can't seem to find the right set of commands to enable me to do perform a regression with cluster-adjusted standard-errors.
Frank Harrell's Design package has ?bootcov and ?robcov, which will both do it. Regards, Mark.
Bo Cowgill wrote:
I can't seem to find the right set of commands to enable me to do perform a regression with cluster-adjusted standard-errors. There seems to be nothing in the archives about this -- so this thread could help generate some useful content. I've searched everywhere. Can anyone point me to the right set of commands? An example would be most helpful as well. Bo [[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
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