CLUS_NWAY: Stata module to perform Multi-way Clustering for Various Model Specifications
Paul J. Wolfson and
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Paul J. Wolfson: Tuck School of Business at Dartmouth
Statistical Software Components from Boston College Department of Economics
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).
Requires: Stata version 11
Keywords: clustering; VCE (search for similar items in EconPapers)
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.
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458841
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