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
clustering of disturbances
1 message · Tobias Muhlhofer