Hello, I'm a bit new to Gretl, so please excuse me if this is obvious. When running a regression, is there a way to cluster the errors around a particular variable? I want to allow the variance-covariance matrix of the errors to have a block-diagonal setup. In Stata, it's called "clustered robust". Is this option available? Thanks very much.
Cheers, Brian
Hello,
I'm a bit new to Gretl, so please excuse me if this is obvious. When running a regression, is there a way to cluster the errors around a particular variable? I want to allow the variance-covariance matrix of the errors to have a block-diagonal setup. In Stata, it's called "clustered robust". Is this option available? Thanks very much.
Cheers,
Brian
