[Gretl-users] Cluster option in ols not working with panel data

Giuseppe Vittucci ignatiusreilly75 at yahoo.it
Thu Aug 1 17:39:32 EDT 2013


There is a bug in the option "cluster" for clustered standard errors in
OLS estimates: they are not computed in panel data.

This is a simple code to reproduce the issue:

open greene14_1.gdt
logs C Q PF LF
series d = (unit <= 3)
ols l_C 0 l_Q l_PF l_LF
setobs unit year --panel-vars
ols l_C 0 l_Q l_PF l_LF --cluster=d
setobs 1 1
ols l_C 0 l_Q l_PF l_LF --cluster=d

The second and third estimates should give the same result.
However, the s.e. in the second estimate are equal to the first one...

Moreover, the same option cluster does not work and returns an error if
there is at least one missing observation.

Bye
Giuseppe


 



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