pcse {pcse}

Panel-Corrected Standard Error Estimation in R

Description

A function to estimate panel-corrected standard errors. Data may contain balanced or unbalanced panels.

Usage

pcse(object, groupN, groupT, pairwise=FALSE)

Arguments

object

A lm object containing the initial run of OLS.

groupN

A vector containing the cross-sectional group identifier for each observation.

groupT

A vector containing the time identifier for each observation.

pairwise

An optional logical flag indicating whether the X's used to estimate the "middle" matrix should be chosen in a pairwise fashion or casewise fashion. If pairwise, the correlation between observations $i$ and $j$ is based on the time periods common to $i$ and $j$. If casewise, the correlation between observations i and j is based on the largest rectangular subset of the data, i.e., $T_i$ = $T_j$ = $T^*$ for all $i$ and $j$ if casewise is selected.

Examples

## see demo file.