clus_nway.ado is a Stata implementation of the Cameron, Gelbach and Miller (2011) multiple clustering algorithm. It serves as a wrapper around any of Stata’s model estimation commands (including, for example, reg, logit, poisson and many others) and can cluster the standard errors on the coefficient estimates of those models around arbitrarily many variables simultaneously. clus_nway.ado was developed together with Paul Wolfson for use in Kleinbaum, Stuart & Tushman (2013).
clus_nway.ado is freely available under the terms of the GNU Public License. Please contact me for a copy.
Cameron, A. Colin, Jonah B. Gelbach, and Douglas L. Miller (2011). "Robust Inference with Multi-way Clustering." Journal of Business and Economic Statistics 29(2):238-49.