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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