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st: Test for cluster-robust SEs?

From   John Antonakis <>
Subject   st: Test for cluster-robust SEs?
Date   Sun, 07 Jun 2009 18:54:50 +0200

This question is reflecting my ignorance on this topic; however, is there a test to ascertain whether cluster-robust SEs is the most appropriate vce in the context of an OLS or random-effects model? For instance, we have tests for heteroskedasticity (hettest, imtest), but I don't know anything about tests for clustering.

Thank you.


Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
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CH-1015 Lausanne-Dorigny

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