CLUS_NWAY: Stata module to perform Multi-way Clustering for Various Model Specifications

Paul J. Wolfson and Adam Kleinbaum
Additional contact information
Paul J. Wolfson: Tuck School of Business at Dartmouth

Statistical Software Components from Boston College Department of Economics

Abstract: clus_nway performs n-way clustering for variance-covariance matrix estimation for any model specification for which Stata allows 1 way clustering. This approach is based on Cameron, Gelbach and Miller (JBES 4/2011), especially equation 2.13 and on cgmreg.ado. clus_nway is a generalization of cgmreg, which permits two-way clustering in ordinary least-squares regression, because it allows arbitrarily many clustering variables and works as a wrapper around any of Stata's estimation commands. The argument of clus_nway is the estimation command as it would normally be issued, except that instead of including only one clustering variable, all should be listed. Note that the clustering variables must be integers (but see the Examples section below to create integers based on string clustering variables).

Language: Stata
Requires: Stata version 11
Keywords: clustering; VCE (search for similar items in EconPapers)
Date: 2020-09-14
Note: This module should be installed from within Stata by typing "ssc install clus_nway". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/clus_nway.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clus_nway.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458841

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().