The package pcse contains a function to estimate panel-corrected standard errors. Data may contain balanced or unbalanced panels. This function extracts the resulting variance covariance matrix.
vcovPC(x, …)# S3 method for default
vcovPC(x, groupN, groupT, pairwise=FALSE, …)
A lm object containing the initial run of OLS.
A vector containing the cross-sectional group identifier for each observation.
A vector containing the time identifier for each observation.
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.
Further arguments passed to methods.
Bailey, Delia and Jonathan N. Katz. (2011) Implementing Panel-Corrected Standard Errors in R: The pcse Package. Journal of Statistical Software, Code Snippets 42(1):1--11. http://www.jstatsoft.org/v42/c01/
# NOT RUN {
## see demo file.
# }
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