[Gretl-users] "Clustered errors" option

Allin Cottrell cottrell at wfu.edu
Thu Apr 9 17:38:54 EDT 2009


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


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