[R] Huber-white cluster s.e. after optim?

Peter Muhlberger peter.muhlberger at gmail.com
Thu Apr 10 07:36:57 CEST 2008

Hi Bill:  Thanks for the reply!  As you've no doubt guessed, I'm not a
 statistician (I'm a social scientist).  I hadn't given thought to
 modeling the cluster-based covariance explicitly--interesting
 possibility.  My responses are drawn from some 60 discussion groups,
 and a critic of my current results might complain that there could be
 error covariation within group (though I suspect there probably
 isn't).  In Stata, the ml routine has a 'cluster' option that
 generates Huber-White cluster standard errors for max. likelihood
 estimates.  I was hoping something similar would be possible in R.  I
 suppose another solution would involve specifically modeling error
 covariance in optim, but it would be helpful if there was some example
 of how to do this that I could examine.

 Another, related problem I face is correcting for clustering in a
 system of equations, estimated with systemfit using the OLS option (I
 need to simultaneous estimation for subsequent hypothesis testing;
 would be using SUR but for the cluster issue).  It seems that both
 this problem and my optim problem might be solved if there was
 something in R like a vcovHC that could handle clustered data--but
 that's just a non-statistician's guess.


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