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.


News

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

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install.packages("multiwayvcov")

1.2.3 by Nathaniel Graham, 3 years ago


http://sites.google.com/site/npgraham1/research/code


Browse source code at https://github.com/cran/multiwayvcov


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