Files for James G. MacKinnon, Morten O. Nielsen,
and Matthew D. Webb
"Testing for the appropriate level of clustering in linear
regression models"
Journal of Econometrics, 235, pp. 2027-2056, 2023
This directory contains five files.
MNWSVT.ado contains the code for performing the tests developed in the
paper.
mnwsvt-readme.txt contains some documentation for MNWSVT.ado.
star_test.dta contains the data for the STAR example.
star-ex.do calls MNWTEST.do and uses the data in star_test.dta to
perform the tests for the STAR example.
mnwsvt-readme.txt
mnwsvt.ado
readme.txt
star_test.dta
table_maker.do