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multiwayvcov (version 1.2.3)

Multi-Way Standard Error Clustering

Description

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.

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Install

install.packages('multiwayvcov')

Monthly Downloads

3,201

Version

1.2.3

License

BSD_2_clause + file LICENSE

Maintainer

Nathaniel Graham

Last Published

May 5th, 2016

Functions in multiwayvcov (1.2.3)

petersen

Simulation of clustering with firm and time effects.
cluster.boot

Bootstrapped multi-way standard error clustering
cluster.vcov

Multi-way standard error clustering