multiwayvcov: Multi-Way Standard Error Clustering

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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.

Author
Nathaniel Graham and Mahmood Arai and Björn Hagströmer
Date of publication
2016-05-05 16:01:22
Maintainer
Nathaniel Graham <npgraham1@gmail.com>
License
BSD_2_clause + file LICENSE
Version
1.2.3
URLs

View on CRAN

Man pages

cluster.boot
Bootstrapped multi-way standard error clustering
cluster.vcov
Multi-way standard error clustering
petersen
Simulation of clustering with firm and time effects.

Files in this package

multiwayvcov
multiwayvcov/NAMESPACE
multiwayvcov/NEWS
multiwayvcov/data
multiwayvcov/data/petersen.rda
multiwayvcov/R
multiwayvcov/R/petersen.r
multiwayvcov/R/cluster_boot.r
multiwayvcov/R/cluster_vcov.r
multiwayvcov/MD5
multiwayvcov/build
multiwayvcov/build/partial.rdb
multiwayvcov/DESCRIPTION
multiwayvcov/man
multiwayvcov/man/cluster.boot.Rd
multiwayvcov/man/cluster.vcov.Rd
multiwayvcov/man/petersen.Rd
multiwayvcov/LICENSE