Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in <i>R</i>
Achim Zeileis, Susanne Köll, Nathaniel Graham
Abstract
Clustered covariances or clustered standard errors are very widely used to account for correlated or clustered data, especially in economics, political sciences, and other social sciences. They are employed to adjust the inference following estimation of a standard least-squares regression or generalized linear model estimated by maximum likelihood. Although many publications just refer to
Topics & Concepts
InferenceEconometricsObject (grammar)Standard errorComputer scienceMaximum likelihoodStatisticsEstimationLinear regressionOrdinary least squaresMathematicsArtificial intelligenceEconomicsManagementBayesian Methods and Mixture ModelsData Analysis with RStatistical Methods and Inference