Multi-Way Standard Error Clustering

Exports two functions implementing multi-way clustering using the method suggested by Cameron, Gelbach, & Miller (2011) and cluster (or block) bootstrapping for estimating variance-covariance matrices. Normal one and two-way clustering matches the results of other common statistical packages. Missing values are handled transparently and rudimentary parallelization support is provided.


multiwayvcov v1.2.3 (2016-05-03):

  • Formula interface now correctly handles NA values
  • df_correction now allows corrections for one-way clustering
  • stata_fe_model_rank argument added to reproduce some Stata results

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.2.3 by Nathaniel Graham, 5 years ago

Browse source code at

Authors: Nathaniel Graham and Mahmood Arai and Björn Hagströmer

Documentation:   PDF Manual  

Task views: Econometrics

BSD_2_clause + file LICENSE license

Imports sandwich, boot, compiler, parallel, stats, utils

Suggests lmtest

Imported by CMatching, ExPanDaR, gravity.

Suggested by sandwich.

See at CRAN