[Gretl-users] "Clustered errors" option
Hello, I'm a bit new to Gretl, so please excuse me if this is obvious.
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.
Cheers,
Brian
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