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st: RE: Multiway Clustering in fixed effects estimation


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Multiway Clustering in fixed effects estimation
Date   Sun, 13 Jun 2010 19:12:26 +0100

Natasha,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> natasha agarwal
> Sent: 13 June 2010 16:20
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Multiway Clustering in fixed effects estimation
> 
> 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?

The published version of the paper (Journal of Business & Economic
Statistics 2010) has (will have? not sure if it's published yet) has a
short discussion of fixed effects, and their informal conclusion is that
the asymptotics required for multi-way clustering to be consistent
should also make it possible to use with fixed effects estimators.

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

-xtivreg2-, downloadable from ssc archives in the usual way, supports
multi-way clustered SEs with fixed effects.

Cheers,
Mark

> Many thanks
> Natasha
> 
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