ENH: Add clustered Standard Errors for system models.

[lrsppp]

Can you estimate clustered standard errors using linearmodels.system.model.IVSystemGMM?

[bashtage]

Yes. See https://bashtage.github.io/linearmodels/iv/examples/advanced-examples.html#Multiple-Instruments

[lrsppp]

Thank you for your quick answer. Unfortunately, it seems not to work with IVSystemGMM:

system_gmm = IVSystemGMM.from_formula(equations, data, weight_type="unadjusted")
system_gmm.fit(cov_type = 'clustered')

It throws a key error: KeyError: 'clustered'. See example: https://bashtage.github.io/linearmodels/system/examples/three-stage-ls.html#System-GMM-Estimation

[bashtage]

Oh, sorry.

[bashtage]

I just saw the IV and didn't pay attention to the System.

[bashtage]

The covariance estimators are listed here: https://bashtage.github.io/linearmodels/system/mathematical-formula.html#covariance-estimation

No clustered.

[lrsppp]

Ah, okay. Was hoping for a work around or something! Thank you!