[Gretl-devel] Re: clustered standard errors, 'period' keyword, driscoll_kraay
On Thu, 2 Nov 2023, Sven Schreiber wrote:
in short: --cluster=period works as announced, but with two-way
clustering
--cluster=period,unit doesn't work, one has to create a series mimicking the
period (e.g., genr time).
I guess this is an oversight and not intended.
It's not intended as such, but neither is it just an oversight. It's
not easy to combine an automatic structural feature with an explicit
series, given that many panels are unbalanced. But maybe we can find
a way of doing it.
Also, Allin, off-list you said that "set panel_robust
driscoll_kraay" now is a further option, but with yesterdays's
snapshot I'm getting an invalid value error. Is this in a
different branch or not pushed or something?
See the "set" doc for the current status: options are "arellano",
"pcse" and "scc".
Allin