I have an econometrics package which has random effects (Swamy-Arora harmonic mean variant with 2SLS support) for panel data as one of the estimators. I also have a few for within transformation (multi-way fixed effects - Stata reghdfe, R lfe, or Julia FixedEffectModels) and multi-way clustering à la Cameron Miller (matches Correia reghdfe which takes into account singletons, but uses a different finite sample adjustment for multidimensional). I am just waiting for 0.7 to get released and the JuliaData / JuliaStats be upgraded to publish those. However, if you need them now, you can look over the code and copy-paste it. https://github.com/JuliaEconometrics: look at EconUtils for some utilities and VarianceCovarianceEstimators for multiway clustering.
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