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st: Two-way clustering

From   Adrian de la Garza <>
To   statalist <>
Subject   st: Two-way clustering
Date   Fri, 9 May 2008 17:56:59 -0400


Recently I posted a message about how to compute standard errors that take into account repeated observations in a same (year, quarter). I still haven't figured out whether that is an issue or not or how to solve it... but Austin suggested that I cluster by region (or country) AND year simultaneously, and he kindly sent me a link for a paper by Cameron, Gelbach, and Miller (2006) on multi-way clustering. 

I still haven't read the whole paper but I was wondering if you guys knew the difference between the method they propose (I found a Stata code in Doug Miller's homepage that is a bit too advanced for me) and simply defining a group variable that groups observations by country and year, and then just use the cluster(group) option when running my regression. What are the potential problems with doing the latter or how does it differ from the Cameron et al. method?

Also, do you know if there's a command that implements their method in Stata? 

Thank you very much.

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