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clustering of disturbances

1 message · Tobias Muhlhofer

#
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