>> % This code assumes that CoCdata.mat and clusterreg.m
>> % are in the working directory in Matlab.
>> % Load the data
>> load CoCdata;
>>
>> % The dependent variable
>> y = coc_brav;
>> % Specify the regressors
>> CONSTANT = ones(size(y));
>> X = [ffa_beta1 ffa_beta2 ffa_beta3 ffa_beta4 sz bm volatility];
>> X = [X vs CONSTANT];
>>
>> % Cluster by firm
>> clusterreg(y, X, gvkey)

ans =

   -0.1535    0.0887   -1.7300
   -0.1143    0.0493   -2.3207
   -0.0063    0.0404   -0.1571
   -0.0758    0.0893   -0.8495
   -0.0326    0.0277   -1.1737
    0.0482    0.0507    0.9488
    1.9897    0.5465    3.6408
   -0.2317    0.3069   -0.7551
    9.3511    0.2408   38.8310
    
>> % Cluster by year
>> clusterreg(y, X, fyear)

ans =

   -0.1535    0.0562   -2.7293
   -0.1143    0.0406   -2.8132
   -0.0063    0.0483   -0.1314
   -0.0758    0.1031   -0.7354
   -0.0326    0.0359   -0.9067
    0.0482    0.0353    1.3639
    1.9897    0.4448    4.4732
   -0.2317    0.2514   -0.9217
    9.3511    0.2555   36.5992

>> % Do two-way cluster-robust standard errors
>> clusterreg(y, X, fyear, gvkey)

ans =

   -0.1535    0.0562   -2.7319
   -0.1143    0.0393   -2.9054
   -0.0063    0.0499   -0.1273
   -0.0758    0.1049   -0.7234
   -0.0326    0.0360   -0.9033
    0.0482    0.0399    1.2071
    1.9897    0.4622    4.3045
   -0.2317    0.2524   -0.9179
    9.3511    0.2588   36.1330