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joachim-gassen.github.io

reghdfe and R: The Joys of Standard Error Correction

I am an applied economist and economists love Stata. Every time I work with somebody who uses Stata on panel models with fixed effects and clustered standard errors I am mildly confused by Stata’s ‘reghdfe’ function producing standard errors that differ from common R approaches like the {sandwich}, {plm} and {lfe} packages. Also, I recently had to update my {ExPanDaR} package to use the {plm} package as my favorite fixed effect package {lfe} was temporarily unavailable on CRAN.
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gcarterit
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