Panel data regression: Robust standard errors

Question

my problem is this: I get NA where I should get some values in the computation of robust standard errors.

I am trying to do a fixed effect panel regression

Answer 1

The plm package can estimate clustered SEs for panel regressions. The original data is no longer available, so here's an example using dummy data.

require(foreign)
require(plm)
require(lmtest)
test <- read.dta("http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.dta")

fpm <- plm(y ~ x, test, model='pooling', index=c('firmid', 'year'))

##Arellano clustered by *group* SEs
> coeftest(fpm, vcov=function(x) vcovHC(x, cluster="group", type="HC0"))

t test of coefficients:

            Estimate Std. Error t value Pr(>|t|)    
(Intercept) 0.029680   0.066939  0.4434   0.6575    
x           1.034833   0.050540 20.4755   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

---

If you're using lm models (instead of plm), then the multiwayvcov package may help.

library("lmtest")
library("multiwayvcov")

data(petersen)
m1 <- lm(y ~ x, data = petersen)

> coeftest(m1, vcov=function(x) cluster.vcov(x, petersen[ , c("firmid")], 
   df_correction=FALSE))

t test of coefficients:

            Estimate Std. Error t value Pr(>|t|)    
(Intercept) 0.029680   0.066939  0.4434   0.6575    
x           1.034833   0.050540 20.4755   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

For more details see:

• Fama-MacBeth and Cluster-Robust (by Firm and Time) Standard Errors in R.

See also:

• Double clustered standard errors for panel data