What are the leverage values for Ridge regression? In linear least squares the parameter estimates are:
$\hat{\beta} = \left(X^{\top}X\right)^{-1}X^{\top}y$.
In Ridge regression the standardized parameter estimates are given by
$\hat{\beta}_{\Gamma} = \left(X^{\top}X + \Gamma\right)^{-1}X^{\top}y$.
Variance covariance estimators use leverage values to account for bias in the variance covariance estimates. For linear least squares a few examples include HC2 and HC3 which have effective residuals as:
$\tilde{u} = \frac{\hat{u}}{1 - h_{ii}}$ and $\tilde{u} = \frac{\hat{u}}{\left(1 - h_{ii}\right)^{2}}$. $h_{ii}$ are the diagonal values of the projection matrix of the model matrix $h = X\left(X^{\top}X\right)^{-1}X^{\top}$.
My question is: for Ridge Regression, would the leverage adjusted residuals use $h = X\left(X^{\top}X\right)^{-1}X^{\top}$ or do they use a different for due to the fact that
$\hat{y}_{OLS} = X\left(X^{\top}X\right)^{-1}X^{\top}y \ne \left(X^{\top}X + \Gamma\right)^{-1}X^{\top}y = \hat{y}_{\Gamma}$? If different what is the form? How does it generalizes to clusters?
 A: Ridge regression can be calculated via ordinary least squares (OLS) calculated with the data matrix $X$ extended with some surrogate data, taken as corresponding to the surrogate observations $Y_0=0$.  Write the model, extended with the surrogate data, as
$$
 \begin{pmatrix} Y \\ Y_0=0\end{pmatrix} = \begin{pmatrix} X\beta \\ X_0 \beta \end{pmatrix} + \begin{pmatrix} \epsilon \\ \epsilon_0 \end{pmatrix}
$$
Using this surrogate formulation, we can calculate the USUAL OLS estimator as
$$
   ( X^TX +  X_0^T X_0)^{-1} (X^T Y + X_0^T 0) = (X^T X + X_0^T X_0)^{-1}X^TY
$$
and comparing that with your expression for the ridge estimator, shows that you need to solve
$$
   \Gamma = X_0^T X_0
$$
for $X_0$, any matrix square root will do, for instance the Cholesky decomposition. 
Then you can use the usual formulas for leverage with the extended data matrix 
$$
   \begin{pmatrix} X \\ X_0  \end{pmatrix}
$$
which is an $(n+p)\times p$-matrix, so the $n$ first leverage values correspond to the data.  As a bonus you get, from the $p$ last leverage values, leverage information on the surrogate data, so you get information on how much influence there is from the surrogate data. 
You ask also about cluster robust versions. I don't know about those, but guess the same approach can be used. 
