Cluster Standard Errors with fitlm
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I have panel data (county, year) and want to run a regression with individual-specific effects that are uncorrelated (a fixed effects regression in economics parlance). Does fitlm automatically cluster the standard errors? If not, is there a way to do this?
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Aditya Patil
le 22 Sep 2021
Can you have a look at the examples provided in https://www.mathworks.com/help/stats/fitlme.html and let me know if this serves your usage? By providing random effect as (1 + x | g), you should be able to have correlation within group errors, while errors outside group will be uncorrelated.
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Aditya Patil
le 16 Juil 2021
Currently, clustered standard errors is not supported in Statistics and Machine Learning Toolbox. I have brought the request to the notice of concerned developers.
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