[R] fixed effects linear model in R

cariboupad at gmx.fr cariboupad at gmx.fr
Tue Feb 7 23:00:06 CET 2012

Dear R-helpers,

First of all, sorry for those who have (eventually) already received that request.
The mail has been bumped several times, so I am not sure the list has received it... and I need help (if you have time)! ;-)

I have a very simple question and I really hope that someone could help me

I would like to estimate a simple fixed effect regression model with clustered standard errors by individuals.
For those using Stata, the counterpart would be xtreg with the "fe" option, or areg with the "absorb" option and in both case the clustering is achieved with "vce(cluster id)"

My question is : how could I do that with R ? 
An important point is that I have too many individuals, therefore I cannot include dummies and should use the demeaning "usual" procedure.
I tried with the plm package with the "within" option, but R quikcly tells me that the memory limits are attained (I have over 10go ram!) while the dataset is only 700mo (about 50 000 individuals, highly unbalanced)
I dont understand... plm do indeed demean the data so the computation should be fast and light enough... and instead it saturates my memory and do not converge...

Do you have an idea ?
Moreover, it is possible to obtain cluster robust standard errors with plm ?

Are there any other solutions for fixed effects linear models (with the demean trick in order not to create as many dummies as individuals) ?
Many thanks in advance ! ;)


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