vce2way: A one-stop solution for two-way clustered standard errors

Hong Il Yoo ()
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Hong Il Yoo: Durham Business School

No 2017_01, Department of Economics Working Papers from Durham University, Department of Economics

Abstract: Using ereturn repost, it is possible to write a simple eclass program which adjusts an existing command’s standard errors for two-way clustering. This approach works with any command which allows vce(cluster varname) as an option, and the results are compatible with the command’s postestimation tools making use of e(V). A new command vce2way automates this approach.

Keywords: st0001; vce2way; ivreg2; cmgreg; two-way clustering; robust inference (search for similar items in EconPapers)
Date: 2017-03
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