Description Usage Arguments Value Author(s) References See Also Examples
Offer a cluster variant of the usual Heteroskedasticity-consistent
1 2 3 | vcovCluster(object, clusterVar)
vcovCluster2(object, clusterVar1, clusterVar2)
|
object |
Object of class lm, from which rdd_reg also inherits. |
clusterVar |
The variable containing the cluster attributions. |
clusterVar1, clusterVar2 |
The two cluster variables for the 2-cluster case. |
A matrix containing the covariance matrix estimate.
Mahmood Arai, see http://people.su.se/~ma/econometrics.html
Cameron, C., Gelbach, J. and Miller, D. (2011) Robust Inference With Multiway Clustering, Journal of Business and Economic Statistics, vol. 29(2), pages 238-249. #' @references Wooldridge (2003) Cluster-sample methods in applied econometrics. American Economic Review, 93, p. 133-138
Arai, M. (2011) Cluster-robust standard errors using R, Note available http://people.su.se/~ma/clustering.pdf.
clusterInf
for a direct function, allowing also alternative cluster inference methods.
1 2 3 4 5 6 7 8 9 10 11 12 | data(STAR_MHE)
if(all(c(require(sandwich), require(lmtest)))){
# Run simple regression:
reg_krug <- lm(pscore~cs, data=STAR_MHE)
# Row 1 of Table 8.2.1, inference with standard vcovHC:
coeftest(reg_krug,vcov.=vcovHC(reg_krug, 'HC1'))[2,2]
# Row 4 of Table 8.2.1, inference with cluster vcovHC:
coeftest(reg_krug,vcov.=vcovCluster(reg_krug, clusterVar=STAR_MHE$classid))[2,2]
}
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