R code for two-way cluster-robust standard errors

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.

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2 Responses to R code for two-way cluster-robust standard errors

  1. Pingback: IV regression and two-way cluster-robust standard errors | iangow

  2. Pingback: Detecting Weak Instruments in R | DiffusePrioR

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