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

Gu, A.; Yoo, H.I.

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

Gu, A.; Yoo, H.I.

Authors

A. Gu

H.I. Yoo

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.

Citation

Gu, A., & Yoo, H. (2019). vcemway: A one-stop solution for robust inference with multi-way clustering. The Stata Journal, 19(4), 900-912

Journal Article Type	Article
Acceptance Date	Jun 27, 2019
Online Publication Date	Dec 18, 2019
Publication Date	Dec 1, 2019
Deposit Date	Jun 27, 2019
Publicly Available Date	Jun 28, 2019
Journal	The Stata Journal
Print ISSN	1536-867X
Electronic ISSN	1536-8734
Publisher	SAGE Publications
Peer Reviewed	Peer Reviewed
Volume	19
Issue	4
Pages	900-912
Public URL	https://durham-repository.worktribe.com/output/1327862

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Copyright 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