[R-sig-Geo] How to cluster the standard errors in the SPLM function?

[Pietro Andre Telatin Paschoalino]

Hello Roger, thank you for your answer.

Yes, from plm I could compute by:

coeftest(x, vcovHC(x, type = ""))

But it does not work with the splm.

I don't find how this approach can be implemented in articles, related to R. But in Stata with the function xsmle, it is possible to estimate the way I want. I don't want to change the software, but it is an option.

Thank you for the idea to use conley SHAC, it is a question that I need to think about.

Again, thank you very much for your help, if I can't solve it for sure I will put a reproducible example.

Pietro Andre Telatin Paschoalino
Doutorando em Ciências Econômicas da Universidade Estadual de Maringá - PCE.

________________________________
De: Roger Bivand <Roger.Bivand using nhh.no>
Enviado: terça-feira, 15 de setembro de 2020 10:37
Para: Pietro Andre Telatin Paschoalino <Pietro_telato using hotmail.com>
Cc: r-sig-geo using r-project.org <r-sig-geo using r-project.org>
Assunto: Re: [R-sig-Geo] How to cluster the standard errors in the SPLM function?

Please do not repeat messages, it does not help.

Did you provide a reproducible example, perhaps from plm? Did you read the
code in splm, for example on R-Forge, or check the development version on
R-Forge https://r-forge.r-project.org/R/?group_id=352,
install.packages("splm", repos="http://R-Forge.R-project.org")?

Did you reference any articles showing how this approach might be
implemented? Do you know whether any such code exists? Are you thinking of
Conley approaches? Such as:
http://www.trfetzer.com/using-r-to-estimate-spatial-hac-errors-per-conley/
? Unfortunately, the dropbox link is now stale.

Please report back on your progress, contact the splm maintainer to offer
ideas or assistance, and anyway provide a reproducible example and the
references you are using.

Hope this helps,

Roger

On Tue, 15 Sep 2020, Pietro Andre Telatin Paschoalino wrote:

> Hello everyone,
>
> Could someone help me with splm (Spatial Panel Model By Maximum Likelihood) in R?
>
> I want to know if is possible to cluster the standard errors by my individuals (like as in plm function). After a lot of research a found that there are more people with the same doubt, you can see this here, the person has the same problem as me:
>
> https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm
>
> Thank you all.
>
> [https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@2.png?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>
>
> Pietro Andre Telatin Paschoalino
> Doutorando em Ci�ncias Econ�micas da Universidade Estadual de Maring� - PCE.
>
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--
Roger Bivand
Department of Economics, Norwegian School of Economics,
Helleveien 30, N-5045 Bergen, Norway.
voice: +47 55 95 93 55; e-mail: Roger.Bivand using nhh.no
https://orcid.org/0000-0003-2392-6140
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