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vcemway: A one-stop solution for robust inference with multiway clustering

Author

Listed:
  • Ariel Gu

    (Northumbria University)

  • Hong Il Yoo

    (Durham University)

Abstract

Most Stata commands allow cluster(varname) or vce(cluster clustvar) as an option, popularizing the use of standard errors that are robust to one-way clustering. For adjusting standard errors for multiway clustering, there is no solution that is as widely applicable. While several community-contributed packages support multiway clustering, each package is compatible only with a subset of models that Stata’s ever-expanding library of commands allows the researcher to fit. We introduce a command, vcemway, that provides a one-stop solution for multiway clustering. vcemway works with any estimation command that allows cluster(varname) as an option, and it adjusts standard errors, individual significance statistics, and confidence intervals in output tables for multiway clustering in specified dimensions. The covariance matrix used in making this adjustment is stored in e(V), meaning that any subsequent call to postestimation commands that use e(V) as input (for example, test and margins) will also produce results that are robust to multiway clustering.

Suggested Citation

  • Ariel Gu & Hong Il Yoo, 2019. "vcemway: A one-stop solution for robust inference with multiway clustering," Stata Journal, StataCorp LP, vol. 19(4), pages 900-912, December.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:4:p:900-912
    DOI: 10.1177/1536867X19893637
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    Cited by:

    1. Seungjun Baek & Seongeun Kim & Tae-hwan Rhee & Wonmun Shin, 2023. "How effective are universal payments for raising consumption? Evidence from a natural experiment," Empirical Economics, Springer, vol. 65(5), pages 2181-2211, November.
    2. Matthew P. Makofske, 2024. "Disclosure policy design and regulatory agent behavior," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 118-144, January.
    3. Iñigo Hernandez-Arenaz & Nagore Iriberri, 2023. "Gender differences in alternating-offer bargaining: an experimental study," Experimental Economics, Springer;Economic Science Association, vol. 26(4), pages 879-914, September.
    4. Ahsanuzzaman, & Palm-Forster, Leah H. & Suter, Jordan F., 2022. "Experimental evidence of common pool resource use in the presence of uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 139-160.

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