Feature Request: Multiway-clustering

[Nosferican]

Would be nice to have this functionality for StatsBase.StatisticalModel. A free distribution of the article is here.

References

Colin Cameron, Adrian, Jonah B. Gelbach, and Douglas L. Miller. 2011. "Robust Inference
With Multiway Clustering." Journal of Business & Economic Statistics 29 (2): 238-249.
doi:10.1198/jbes.2010.07136.

[Nosferican]

The code is pretty simple to implement:
Given, X::AbstractMatrix the model matrix and û::AbstractVector the residuals, one only needs to define G::AbstractMatrix which is a cluster defining matrix.
V = inv(factorize(X.'X)) * X * (û * û.' .* G) * X.' inv(factorize(X.'X))
and G is a symmetric matrix which takes values true at G[i,j] ⟺ i ^ j share any clusters (same level for any dimension).

[gragusa]

Ok. I will look into it shortly

[Nosferican]

I actually implemented it some time ago, I could contribute it if you are interested.

[gragusa]

Closed by #61