On Tue, 7 Apr 2009, Brian Quistorff wrote: > When running a regression, is there a way to cluster the errors > around a particular variable? I want to allow the > variance-covariance matrix of the errors to have a > block-diagonal setup. In Stata, it's called "clustered robust". > Is this option available? Thanks very much.
When you estimate a model on panel data in gretl you have the option of two robust estimators of the covariance matrix -- Arellano and Beck-Katz -- both of which are "clustered" on the panel unit/group. See chapter 14 of the Gretl User's Guide for details. But at present gretl doesn't support "clustered robust" estimation outside of the case of panel data. Allin Cottrell
