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CLUS_NWAY: Stata module to perform Multi-way Clustering for Various Model Specifications

Author

Listed:
  • Paul J. Wolfson

    (Tuck School of Business at Dartmouth)

  • Adam Kleinbaum

    (Tuck School of Business at Dartmouth)

Programming Language

Stata

Abstract

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).

Suggested Citation

  • Paul J. Wolfson & Adam Kleinbaum, 2020. "CLUS_NWAY: Stata module to perform Multi-way Clustering for Various Model Specifications," Statistical Software Components S458841, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458841
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/clus_nway.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clus_nway.sthlp
    File Function: help file
    Download Restriction: no
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    More about this item

    Keywords

    clustering; VCE; Stata;
    All these keywords.

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