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TWC_INF: Stata module to implement the twoway-clustered inference tools of "Analytic inference with two-way clustering" by Davezies et al. (wp, 2025)

Author

Listed:
  • Laurent Davezies

    (CREST)

  • Xavier D'Haultfoeuille

    (CREST-ENSAE)

  • Yannick Guyonvarch

    (INRAE)

Programming Language

Abstract

twc_inf fits a regression model of depvar on indepvars using the model specified by method(). For each regression coefficient, the command computes the associated standard error se=max(se_1,se_2,se_u) - proposed in Davezies et al. (2025) - that allows to conduct asymptotically valid inference in presence of two-way clustering along the variables var1 and var2 provided through the cluster() option. Corresponding confidence intervals are also reported for each regression coefficient.

Suggested Citation

  • Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch, 2025. "TWC_INF: Stata module to implement the twoway-clustered inference tools of "Analytic inference with two-way clustering" by Davezies et al. (wp, 2025)," Statistical Software Components S459478, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459478
    Note: This module should be installed from within Stata by typing "ssc install twc_inf". 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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    File URL: http://fmwww.bc.edu/repec/bocode/t/twc_inf.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twc_inf.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/t/testing_twc_inf.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/t/twc_inf_db.dta
    File Function: sample data file
    Download Restriction: no
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