R Under development (unstable) (2023-12-09 r85665 ucrt) -- "Unsuffered Consequences"
Copyright (C) 2023 The R Foundation for Statistical Computing
Platform: x86_64-w64-mingw32/x64

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library("sandwich")
> data("PetersenCL", package = "sandwich")
> m <- lm(y ~ x, data = PetersenCL)
> 
> vcovPL(m, cluster = ~ firm + year, adjust = TRUE)
             (Intercept)            x
(Intercept) 5.935164e-04 2.222292e-05
x           2.222292e-05 7.934905e-04
> vcovPL(m, cluster = ~ firm + year, adjust = FALSE)
             (Intercept)            x
(Intercept) 5.932790e-04 2.221403e-05
x           2.221403e-05 7.931731e-04
> 
> 
> data("InstInnovation", package = "sandwich")
> n <- glm(cites ~ institutions, family = poisson, data = InstInnovation)
> 
> vcovPL(n, cluster = ~ industry, adjust = TRUE)
              (Intercept)  institutions
(Intercept)   0.095136753 -1.242281e-03
institutions -0.001242281  2.129094e-05
> vcovPL(n, cluster = ~ industry, adjust = FALSE)
              (Intercept)  institutions
(Intercept)   0.095106103 -1.241881e-03
institutions -0.001241881  2.128408e-05
> 
> 
> ## vcovPL covariance matrix compared with vcovSCC from plm package
> if(!require("plm")) q()
Loading required package: plm
> pm <- plm::plm(y ~ x, data = PetersenCL, model = "pooling", index = c("firm", "year"))
> 
> (pl1 <- vcovPL(m, cluster = ~ firm, adjust = FALSE))
             (Intercept)            x
(Intercept) 5.932790e-04 2.221403e-05
x           2.221403e-05 7.931731e-04
> (pl2 <- plm::vcovSCC(pm))
             (Intercept)            x
(Intercept) 5.932790e-04 2.221403e-05
x           2.221403e-05 7.931731e-04
attr(,"cluster")
[1] "time"
> attr(pl2, "cluster") <- NULL
> 
> all.equal(pl1, pl2)
[1] TRUE
> 
> 
> ## vcovPL compared with Stata's xtscc (xtscc y x, lag(1) ase) standard errors
> pl4 <- c(0.0243573, 0.0281633)
> names(pl4) <- c("(Intercept)", "x")
> pl4
(Intercept)           x 
  0.0243573   0.0281633 
> (pl3 <- sqrt(diag(pl1)))
(Intercept)           x 
 0.02435732  0.02816333 
> 
> all.equal(pl3, pl4, tolerance = 1e-6)
[1] TRUE
> 
> proc.time()
   user  system elapsed 
   1.21    0.17    1.37