mclx: Clustered Regression standard errors for two way clustering

In tlamadon/rutils: Some utility functions

Description

Clustered standard errors similar to http://www.stata.com/help.cgi?vce_option I installed a vignette in /inst. Contacted the author whether he would work on a package himself, said no. Copyright Mahmood Arai, Jan 26, 2008. Here's a vignette: http://people.su.se/~ma/clustering.pdf. Caution: not properly tested.

Usage

mclx(fm, dfcw, cluster1, cluster2)

Arguments

fm	fitted model
cluster1	name of clustering variable 1
cluster2	name of clustering variable 2
fdcw	degree of freedom correction weights. set 1 if none required.

Value

a coeftest object

Author(s)

Mahmood Arai <[e-mail]>

References

Cameron, Gelbach and Miller (2006) http://www.nber.org/papers/t0327, Arellano (1987) http://ideas.repec.org/a/bla/obuest/v49y1987i4p431-34.html

tlamadon/rutils documentation built on May 31, 2019, 3:49 p.m.