Re: [Gretl-users] Cluster option in ols not working with panel data
On Thu, 1 Aug 2013, Giuseppe Vittucci wrote:
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...
Thanks for the report. This should now be fixed in CVS and
snapshots.
Moreover, the same option cluster does not work and returns an error
if
there is at least one missing observation.
I cannot replicate that -- could you give an example? The
following, for example, works correctly here:
<hansl>
open greene14_1.gdt
logs C Q PF LF
series d = (unit <= 3)
l_LF[10] = NA
ols l_C 0 l_Q l_PF l_LF --cluster=d
</hansl>
I can provoke an error if I specify a clustering variable that
has a missing value for an observation where the regressand
and regressors are not missing -- but that seems correct; you
can't have an observation that belongs to an indeterminate
cluster.
Allin Cottrell