How to cluster standard errors of plm at different

2019-08-29 12:42发布

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.

标签: r plm
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