Clustered Standard Errors?

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Clustered Standard Errors?

Ignacio Martinez
Hi,

I found this
<https://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/>
post
from 2011 for doing clustered standard errors in R.

Is there any update to the lm package that allows to do this without having
to write your own function? In STATA is as simple as adding cluster to the reg
command.

Thanks a lot for the help!

Ignacio

        [[alternative HTML version deleted]]

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Re: Clustered Standard Errors?

David Carlson
Updates to lm() would be documented in the manual page for the function. Reading the link it appears that you do not have to write your own function, Mahmood Ara in Stockholm University has already done it for you. You just have to learn how to copy a function from a web site and paste it into an R script file. Given the cost of a single business license for STATA in the US for moderate-sized datasets of $1,195 (perpetual) versus the cost of R, $0 (perpetual), it would seem to be worth the bother.

-------------------------------------
David L Carlson
Department of Anthropology
Texas A&M University
College Station, TX 77840-4352


-----Original Message-----
From: R-help [mailto:[hidden email]] On Behalf Of Ignacio Martinez
Sent: Monday, November 16, 2015 9:28 AM
To: r-help
Subject: [R] Clustered Standard Errors?

Hi,

I found this
<https://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/>
post
from 2011 for doing clustered standard errors in R.

Is there any update to the lm package that allows to do this without having
to write your own function? In STATA is as simple as adding cluster to the reg
command.

Thanks a lot for the help!

Ignacio

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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Re: Clustered Standard Errors?

Achim Zeileis-4
In reply to this post by Ignacio Martinez
On Mon, 16 Nov 2015, Ignacio Martinez wrote:

> Hi,
>
> I found this
> <https://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/>
> post
> from 2011 for doing clustered standard errors in R.
>
> Is there any update to the lm package that allows to do this without
> having to write your own function? In STATA is as simple as adding
> cluster to the reg command.

For "lm" objects, the easiest solution is to use the "multiwayvcov"
package on CRAN.

Additionally, the "plm" package on CRAN offers further options beyond the
simple clustered standard errors.

> Thanks a lot for the help!
>
> Ignacio
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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Re: Clustered Standard Errors?

Lorenz, Jennifer
Hi Ignacio,

following this link: http://www.ne.su.se/polopoly_fs/1.216115.1426234213!/menu/standard/file/clustering1.pdf you can download a documentation for Arai's cl-function that is mentioned in the link in your email. I used it several times and it works quite well. Just copy the function into your script and call it after you calculated your regression using the following command:
cl(data, regression-model, cluster-variable)

Best
Jen



-----Urspr√ľngliche Nachricht-----
Von: R-help [mailto:[hidden email]] Im Auftrag von Achim Zeileis
Gesendet: Montag, 16. November 2015 18:48
An: Ignacio Martinez <[hidden email]>
Cc: r-help <[hidden email]>
Betreff: Re: [R] Clustered Standard Errors?

On Mon, 16 Nov 2015, Ignacio Martinez wrote:

> Hi,
>
> I found this
> <https://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-
> in-r/>
> post
> from 2011 for doing clustered standard errors in R.
>
> Is there any update to the lm package that allows to do this without
> having to write your own function? In STATA is as simple as adding
> cluster to the reg command.

For "lm" objects, the easiest solution is to use the "multiwayvcov"
package on CRAN.

Additionally, the "plm" package on CRAN offers further options beyond the simple clustered standard errors.

> Thanks a lot for the help!
>
> Ignacio
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.