Title: Panel models in MATLAB^®: fixed effects, clustered standard errors and large datasets

Authors: Pavel S. Kapinos

Addresses: USAA, 5601 Legacy Dr. Plano, TX USA

Abstract: This note describes a MATLAB^® program that offers two advantages over the existing software. First, it allows for flexible estimation of multi-way clustered standard errors using the methodology of Cameron et al. (2011), which, unlike other approaches, does not limit the number of clustering dimensions. Second, it efficiently computes estimates of multi-way fixed effects models, with or without clustered standard errors, using native MATLAB^® commands and materially reducing computational time in large datasets. Additional optionality, such as the ability to drop singleton observations or provide standard errors for linear combinations of estimated coefficients, is also included.

Keywords: panel models; fixed effects; clustered standard errors; large datasets; MATLAB^®.

DOI: 10.1504/IJCEE.2026.155826

International Journal of Computational Economics and Econometrics, 2026 Vol.16 No.3, pp.242 - 254

Received: 29 May 2024
Accepted: 26 Apr 2025
Published online: 24 Aug 2026 *

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