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

Gu, Ariel and Yoo, Hong Il (2019) vcemway: a one-stop solution for robust inference with multi-way clustering. Stata Journal. ISSN 1536-867X (In Press)

[img]
Preview
Text
AAM_Gu&Yoo_vcemway_2019.pdf - Accepted Version

Download (292kB) | Preview

Abstract

Most Stata commands allow cluster(varname) as an option, popularizing the use of standard errors that are robust to one-way clustering. Butwhen it comes to adjusting standard errors for multi-way clustering, there is nosolution that is as widely applicable. While several user-written packages support multi-way clustering, each package is compatible with only a subset of models that Stata’s ever-expanding library of commands allows the researcher to estimate. We introduce a command vcemway that provides a one-stop solution for multi-way clustering. vcemway works with any estimation command that allows cluster(varname) as an option, and adjusts standard errors, individual significance statistics and confidence intervals in output tables for multi-way 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 (e.g. test and margins) will also produce results that are robust to multi-way clustering.

Item Type: Article
Uncontrolled Keywords: st0001, vcemway, ivreg2, cmgreg, reghdfe, boottest, two-way clustering, multi-way clustering
Subjects: N300 Finance
N400 Accounting
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Elena Carlaw
Date Deposited: 14 Aug 2019 13:49
Last Modified: 19 Nov 2019 09:04
URI: http://nrl.northumbria.ac.uk/id/eprint/40348

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics


Policies: NRL Policies | NRL University Deposit Policy | NRL Deposit Licence