[R] robust standard errors for panel data

[Achim Zeileis]

On Wed, 13 Oct 2010, Max Brown wrote:

> Hi,
>
> I would like to estimate a panel model (small N large T, fixed effects),
> but would need "robust" standard errors for that. In particular, I am
> worried about potential serial correlation for a given individual (not so
> much about correlation in the cross section).
>
>> From the documentation, it looks as if the vcovHC that comes with plm
> does not seem to do autocorrelation,

My understanding is that it does, in fact. The details say

      Observations may be clustered by '"group"' ('"time"') to account
      for serial (cross-sectional) correlation.

Thus, the default appears to be to account for serial correlation anyway. 
But I'm not an expert in panel-versions of these robust covariances. Yves 
and Giovanni might be able to say more.

> and the NeweyWest in the sandwich
> package says that it expects a fitted model of type "lm" or "glm" (it
> says nothing about "plm").

That information in the "sandwich" package is outdated - prompted by your 
email I've just fixed the manual page in the development version.

In principle, everything in "sandwich" is object-oriented now, see
   vignette("sandwich-OOP", package = "sandwich")

However, the methods within "sandwich" are only sensible for 
cross-sectional data (vcovHC, sandwich, ...) or time series data (vcovHAC, 
NeweyWest, kernHAC, ...). There is not yet explicit support for panel 
data.

hth,
Z

> How can I estimate the model and get robust standard errors?
>
> Thanks for your help.
>
> Max
>
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