r - 面板数据的双聚类标准误

Question

我在 R(时间和横截面)中有一个面板数据集，并且想计算由二维聚类的标准误差，因为我的残差是双向相关的。谷歌搜索我发现 http://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/它提供了一个功能来做到这一点。这似乎有点临时，所以我想知道是否有一个已经过测试的包，这样做吗？

我知道 sandwich做 HAC 标准错误，但它不做双聚类(即沿二维)。

Answer 1

Frank Harrell 的包裹 rms (以前被命名为 Design )有一个我在聚类时经常使用的函数:robcov .

查看?robcov的这一部分， 例如。

cluster: a variable indicating groupings. ‘cluster’ may be any type of
      vector (factor, character, integer).  NAs are not allowed.
      Unique values of ‘cluster’ indicate possibly correlated
      groupings of observations. Note the data used in the fit and
      stored in ‘fit$x’ and ‘fit$y’ may have had observations
      containing missing values deleted. It is assumed that if any
      NAs were removed during the original model fitting, an
      ‘naresid’ function exists to restore NAs so that the rows of
      the score matrix coincide with ‘cluster’. If ‘cluster’ is
      omitted, it defaults to the integers 1,2,...,n to obtain the
      "sandwich" robust covariance matrix estimate.