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VCEMWAY: Stata module to adjust a Stata command's standard errors for multi-way clustering

Author

Listed:
  • Ariel Gu

    (Durham University Business School)

  • Hong Il Yoo

    (Durham University Business School)

Programming Language

Stata

Abstract

vcemway is a module to adjust an existing Stata estimation command's standard errors for m-way clustering, where m is 2 or larger. The module works with any Stata command which allows one-way clustering in each dimension of interest separately via -vce(cluster varname)- option. The results are compatible with the underlying command's postestimation tools that make use of -ereturn- matrix e(V) including -test-, -nlcom-, -margins- to name a few.

Suggested Citation

  • Ariel Gu & Hong Il Yoo, 2019. "VCEMWAY: Stata module to adjust a Stata command's standard errors for multi-way clustering," Statistical Software Components S458662, Boston College Department of Economics, revised 14 Jun 2022.
    • Handle: RePEc:boc:bocode:s458662
    Note: This module should be installed from within Stata by typing "ssc install vcemway". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/v/vcemway.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/v/vcemway.sthlp
    File Function: help file
    Download Restriction: no
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