Hi Bill: Thanks for the reply! As you've no doubt guessed, I'm not a statistician (I'm a social scientist). I hadn't given thought to modeling the cluster-based covariance explicitly--interesting possibility. My responses are drawn from some 60 discussion groups, and a critic of my current results might complain that there could be error covariation within group (though I suspect there probably isn't). In Stata, the ml routine has a 'cluster' option that generates Huber-White cluster standard errors for max. likelihood estimates. I was hoping something similar would be possible in R. I suppose another solution would involve specifically modeling error covariance in optim, but it would be helpful if there was some example of how to do this that I could examine.
Another, related problem I face is correcting for clustering in a system of equations, estimated with systemfit using the OLS option (I need to simultaneous estimation for subsequent hypothesis testing; would be using SUR but for the cluster issue). It seems that both this problem and my optim problem might be solved if there was something in R like a vcovHC that could handle clustered data--but that's just a non-statistician's guess. Peter ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
