I run a panel regression by plm
. plm
only can cluster standard errors at "group" or "time" levels. But I want to cluster at the country level rather than group or time. (For my data, group is the firm level.)
I use the following code to cluster:
summary(r, vcov = function(x) vcovHC(x, cluster = "group", method = "arellano"))
But the options for cluster
are only group and time. I want to cluster at country level.