# NOT RUN {
## Petersen's data
data("PetersenCL", package = "sandwich")
m <- lm(y ~ x, data = PetersenCL)
## Driscoll and Kraay standard errors
## lag length set to: T - 1 (maximum lag length)
## as proposed by Petersen (2009)
sqrt(diag(vcovPL(m, cluster = PetersenCL$firm, lag = "max", adjust = FALSE)))
## lag length set to: floor(4 * (T / 100)^(2/9))
## rule of thumb proposed by Hoechle (2007) based on Newey & West (1994)
sqrt(diag(vcovPL(m, cluster = PetersenCL$firm, lag = "NW1994")))
## lag length set to: floor(T^(1/4))
## rule of thumb based on Newey & West (1987)
sqrt(diag(vcovPL(m, cluster = PetersenCL$firm, lag = "NW1987")))
# }
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