On Thu, Aug 18, 2022 at 11:56 AM Sven Schreiber
<sven.schreiber@fu-berlin.de> wrote:
>
> Am 17.08.2022 um 08:12 schrieb JOSE FRANCISCO PERLES RIBES:
> > Dear team:
> >
> > I have recently read the paper of Prof. Hansen "Jackknife Standard
> > Errors for Clustered Regression"
> > (https://www.ssc.wisc.edu/~bhansen/papers/tcauchy.pdf) and found it
> > very interesting. I have checked that for the non-clustered scenario
> > the HC3a option in Gretl is the Jackknife  Professor Hansen's favorite
> > option (according to the Gretl command reference Variant 3a is the
> > MacKinnon–White "jackknife" procedure).
> >
> > My question is, for the clustered regression which would be the option
> > in Gretl (as stated in the paper, in Stata it would be
> > vce(jackknife,mse).?
> >
> Hi José, from section 22.5 in the guide (and also checking the doc for
> the --cluster option for the ols command) I tend to think that in gretl
> currently these are mutually exclusive options, so it wouldn't currently
> be possible. Maybe someone with more experience in this area can weigh in.
>
> I'm noting that combining the --cluster and --jackknife options does not
> produce an error, however.

To expand on Sven's point: at present the --jackknife option is only
available for OLS estimation (and not in the case of pooled panel
OLS). The --cluster option is available more generally, though not for
all estimators. Sven's right that gretl hasn't been very clear on the
issue of compatibility of --jackknife and --cluster, but that's now
fixed in git and snapshots: as things stand these two options are not
compatible, and we now complain if both options are given.

At some point we may be able to figure out Hansen's Jackknife +
clustering, but that combination is not supported yet.

Allin
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