vcovCluster: Cluster Heteroskedasticity-consistent estimation of the...

In rddtools: Toolbox for Regression Discontinuity Design ('RDD')

Cluster Heteroskedasticity-consistent estimation of the covariance matrix.

Description

Offer a cluster variant of the usual Heteroskedasticity-consistent

Usage

vcovCluster(object, clusterVar)

vcovCluster2(object, clusterVar1, clusterVar2)

Arguments

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.

Value

A matrix containing the covariance matrix estimate.

Author(s)

Mahmood Arai,

References

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 https://web.archive.org/web/20230101000000/https://www.ne.su.se/polopoly_fs/1.216115.1426234213!/menu/standard/file/clustering1.pdf.

See Also

clusterInf for a direct function, allowing also alternative cluster inference methods.

Examples

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]
}

rddtools documentation built on Nov. 5, 2025, 5:36 p.m.