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st: Multiway Clustering in fixed effects estimation


From   natasha agarwal <agarwana2@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Multiway Clustering in fixed effects estimation
Date   Sun, 13 Jun 2010 16:20:01 +0100

Hello Everyone,

I was implementing the ‘robust inference with multi-way clustering’
proposed by Cameron et al. (2006) in stata. However the estimator am
using is a within estimator.

Can I go ahead with the estimator Cameron et al. (2006) have proposed
or estimating multi-way clustering and conclude that it takes into
account the fixed effects for the panel identifier?

If not, how can one go about doing multi-way clustering in a fixed
effects set-up?

Many thanks
Natasha

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