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I run a panel regression by plm. plm only can cluster standard errors at "group" or "time" levels. But I want to cluster at the country level rather than group or time. (For my data, group is the firm level.)

I use the following code to cluster: summary(r, vcov = function(x) vcovHC(x, cluster = "group", method = "arellano")) But the options for cluster are only group and time. I want to cluster at country level.

1412mm
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  • please add your code, and a small sample of dataset – Sal-laS Sep 13 '18 at 18:57
  • If you want to cluster at a level which does not serve as an index variable, plm is currently not capable of that. Maybe you have more luck with pacages `multiwayvcov`, `sandwich` and/or `clubSandwich` – Helix123 Sep 21 '18 at 18:57

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