I want to do a linear probability model with clustered errors. The data also has a panel structure.
In the R package “sandwich,” there are two functions:
The package description says:
vcovPC Panel-Corrected Covariance Matrix Estimation
"Estimation of sandwich covariances a la Beck and Katz (1995) for panel data."
vcovPL Clustered Covariance Matrix Estimation for Panel Data
"Estimation of sandwich covariances à la Newey-West (1987) and Driscoll and Kraay (1998) for panel data."
In both, I can specify my clusters. Hence, I have no idea how to decide on one of the two functions. Are there any reasoning for deciding between them?
Source: Package ‘sandwich’.