I recently updated the code page for Gow, Ormazabal and Taylor (2010) to include R code. The code includes a function
coeftest.cluster which can be applied to an existing model fit to return table output based on two-way cluster-robust standard errors. See here for code illustrating its use against data from Mitchell Petersen’s website. Note that the code was adapted from code provided by Mahmood Arai.
Jiasun Li on Remote WRDS SAS from R iangow on RStudio Server on a Mac iangow on RStudio Server on a Mac ejjunju on RStudio Server on a Mac ejjunju on RStudio Server on Mac OS …