Dear team: I have recently read the paper of Prof. Hansen "Jackknife Standard Errors for Clustered Regression" ( https://www.ssc.wisc.edu/~bhansen/papers/tcauchy.pdf) and found it very interesting. I have checked that for the non-clustered scenario the HC3a option in Gretl is the Jackknife Professor Hansen's favorite option (according to the Gretl command reference Variant 3a is the MacKinnon–White "jackknife" procedure).
My question is, for the clustered regression which would be the option in Gretl (as stated in the paper, in Stata it would be vce(jackknife,mse).? Thanks in advance and sorry for any inconvenience. José Perles University of Alicante
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