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I'm trying to obtain robust standard errors as my regression residuals seem to be correlated... My sample data has 8 countries and I would like to cluster the standard errors by these 8 countries using SPSS...

I have read that you can use STATA to do it but I only have SPSS installed in my laptop.. help.. does anyone know any short cuts or macros written for this?

Thank you!!!

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Do you know why your residuals are correlated? Are you making multiple measurements on the same study unit? If so, you could enter those study units as a fixed factor, or run a multilevel model & let the random effect take care of it. Another possibility is that you have the wrong functional form. You can plot your residuals against each covariate and look at them. EG if the relationship b/t a covariate & the response is curvilinear, you might have (eg) several negative residuals, then several positive residuals, then several negative ones again. This would mean you need a squared term. – gung Oct 30 '12 at 15:44
What have you tried? I bet SPSS has a manual section on cluster analysis... – Anony-Mousse Oct 30 '12 at 17:28

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