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

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  • Hong Il Yoo

    (Durham Business School)

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.

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  • Hong Il Yoo, 2017. "vce2way: A one-stop solution for two-way clustered standard errors," Working Papers 2017_01, Durham University Business School.
    • Handle: RePEc:dur:durham:2017_01
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    References listed on IDEAS

    as
    1. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2011. "Robust Inference With Multiway Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 238-249, April.
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    Keywords

    st0001; vce2way; ivreg2; cmgreg; two-way clustering; robust inference;
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