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st: Multiway Clustering in fixed effects estimation
From
natasha agarwal <[email protected]>
To
[email protected]
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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