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How to cluster LM standard errors by another variable

HomeCategory: stackoverflowHow to cluster LM standard errors by another variable
Avatarsourav asked 1 month ago

I am currently running a LM Model with a DID-Estimator (panel structure) and the group ID looks like the following:

GROUP_ID: 10101 10101 10102 10102 10103 10103 10201 10201 10202 10202…etc

Additionally I have another variable grouping the ID looking like the following:

Grouping: video video video video video video cd cd cd cd cd

and another dependent variable with integers to each group ID

After running an lm model I would now like to cluster the standard errors according to the grouping variable, meaning clustering the standard errors of the first 6 rows (video) and clustering the standard errors of the last 4 rows (cd) as they have serial correlation.

Can someone help me with a code here?

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Best Answer
AvatarArben answered 1 month ago
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