How to cluster standard error in clubSandwich's vcovCR()?

Question

I'm trying to specify a cluster variable after plm using vcovCR() in clubSandwich package for my simulated data (which I use for power simulation), but I get the following error message: "Error in [.data.frame(eval(mf$data, envir), , index_names) : undefined columns selected"

I'm not sure if this is specific to vcovCR() or something general about R, but could anyone tell me what's wrong with my code? (I saw a related post here How to cluster standard errors of plm at different level rather than id or time?, but it didn't solve my problem).

My code:

N <- 100;id <- 1:N;id <- c(id,id);gid <- 1:(N/2);
gid <- c(gid,gid,gid,gid);T <- rep(0,N);T = c(T,T+1)
a <- qnorm(runif(N),mean=0,sd=0.005)
gp <- qnorm(runif(N/2),mean=0,sd=0.0005)
u <- qnorm(runif(N*2),mean=0,sd=0.05)
a <- c(a,a);gp = c(gp,gp,gp,gp)
Ylatent <- -0.05*T + a + u
Data <- data.frame(
  Y = ifelse(Ylatent > 0, 1, 0),
  id = id,gid = gid,T = T
)
library(clubSandwich)
library(plm)
fe.fit <- plm(formula = Y ~ T, data = Data, model = "within", index = "id",effect = "individual", singular.ok = FALSE)
vcovCR(fe.fit,cluster=Data$id,type = "CR2") # doesn't work, but I can run this by not specifying cluster as in the next line
vcovCR(fe.fit,type = "CR2")
vcovCR(fe.fit,cluster=Data$gid,type = "CR2") # I ultimately want to run this

Looks like a bug in clubSandwich to me and it is already reported here: https://github.com/jepusto/clubSandwich/issues/38 — Helix123, May 02 '19 at 07:58
Thank you.But it works for other data set. For example: `library(clubSandwich) library(plm) data("Produc", package = "plm") plm_FE <- plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, index = c("state","year"), effect = "individual", model = "within") vcovCR(plm_FE, type="CR2",cluster = Produc$state)` — Yuki Takahashi, May 06 '19 at 15:49

Helix123 · Accepted Answer · 2019-05-06T21:54:06.767

Make your data a pdata.frame first. This is safer, especially if you want to have the time index created automatically (seems to be the case looking at your code).

Continuing what you have:

pData <- pdata.frame(Data, index = "id") # time index is created automatically
fe.fit2 <- plm(formula = Y ~ T, data = pData, model = "within", effect = "individual")
vcovCR(fe.fit2, cluster=Data$id,type = "CR2")
vcovCR(fe.fit2, type = "CR2")
vcovCR(fe.fit2,cluster=Data$gid,type = "CR2")

Your example does not work due to a bug in clubSandwich's data extraction function get_index_order (from version 0.3.3) for plm objects. It assumes both index variables are in the original data but this is not the case in your example where the time index is created automatically by only specifying the individual dimension by the index argument.

How to cluster standard error in clubSandwich's vcovCR()?

1 Answers1