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vcemway : a one-stop solution for robust inference with multi-way clustering.

Gu, A. and Yoo, H.I. (2019) 'vcemway : a one-stop solution for robust inference with multi-way clustering.', Stata journal., 19 (4). pp. 900-912.

Abstract

Most Stata commands allow cluster(varname) or vce(cluster clustvar) as an option, popularizing the use of standard errors that are robust to oneway 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.

Item Type:Article
Full text:(AM) Accepted Manuscript
First Live Deposit - 28 June 2019
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(281Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.11771536867X19893637
Publisher statement:Gu,A. & Yoo,H.I. (2019). vcemway: A one-stop solution for robust inference with multi-way clustering. Stata Journal 19(4): 900-912. Copyright © 2019 2019 StataCorp LLC DOI: 10.11771536867X19893637
Record Created:28 Jun 2019 11:43
Last Modified:03 Jan 2020 15:41

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