'Two-way cluster regression - Year T
matrix(4,5) twoway_result_t

pagestruct calyear_co
equation a3t.ls(cov=perwhite) wc_ab_prod c wl_mvye_la1_dev wc_bm_la1_dev wc_roa_dev jb_zero

pagestruct companyno @date(calyear)
equation a1t.ls(cov=cxwhite) wc_ab_prod c wl_mvye_la1_dev wc_bm_la1_dev wc_roa_dev jb_zero
equation a2t.ls(cov=perwhite) wc_ab_prod c wl_mvye_la1_dev wc_bm_la1_dev wc_roa_dev jb_zero

matrix(5,5) vi_t = a1t.@coefcov + a2t.@coefcov - a3t.@coefcov

vector se_t = @sqrt(@getmaindiagonal(vi_t))
!df_t = a1t.@regobs - a1t.@ncoef
twoway_result_t(4,1) = a1t.@rbar2
twoway_result_t(4,2) = a1t.@regobs

for !m = 1 to 5
twoway_result_t(1,{!m}) = a1t.@coefs({!m})
twoway_result_t(2,{!m}) = a1t.@coefs({!m})/se_t({!m})
twoway_result_t(3,{!m}) = @tdist(twoway_result_t(2,{!m}),!df_t)
next

twoway_result_t.sheet