Two-way clusteringIn this paper we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit and GMM. This variance estimator enables cluster-robust inference
Menzel, Konrad (2021), "Bootstrap with cluster-dependence in two or more dimensions," Econometrica, 89, 2143–2188. 4 MacKinnon, James G., Morten Ø. Nielsen, and Matthew D. Webb (2021), "Wild Boot- strap and asymptotic inference with multiway clustering,"Journal of Business and ...
Robust inference with multiway clustering J. Bus. Econ. Stat., 29 (2) (2011), pp. 238-249 CrossrefGoogle Scholar Chomitz and Thomas, 2003 K.M. Chomitz, T.S. Thomas Determinants of land use in amazonia: a fine-scale spatial analysis Am. J. Agric. Econ., 85 (4) (2003), pp....
Robust inference with multiway clustering 2011, Journal of Business and Economic Statistics Recent developments in the econometrics of program evaluation 2009, Journal of Economic Literature Estimating standard errors in finance panel data sets: Comparing approaches 2009, Review of Financial Studies Mostly ...
Stata 18 has three new inference tools that are tailored for cluster–robust inference. Two of them are tools for cases when there are few clusters. The third one helps you when there is nonnested multiway clustering. You can read more about these methods in the Stata documentation; see [...
C. A. Cameron, J. B. Gelbach, and D. L. Miller. Robust inference with multiway clustering. NBER Working Paper, T0327, 2006. URL http://.nber/ papers/t0327. 5 M. A. Petersen. Estimating standard errors in finance panel data sets: Compar-...
"Robust Inference with Multiway Clustering." Journal of Business & Economic Statistics 29 (2): 238–49. doi:http: //doi.org/10.1198/jbes.2010.07136. Carneiro, Anabela, Paulo Guimarães, and Pedro Portugal. 2012. "Real Wages and the Busi- ness Cycle: Accounting for Worker, Firm, and Job...
Cameron, C., J., Gelbach and D., Miller (2006), "Robust Inference with Multi-Way Clustering." NBER Technical Working Paper 327.A Colin Cameron, Jonah B Gelbach, and Douglas L Miller. Robust inference with multiway clustering. Journal of Business & Economic Statistics, 29(2), 2011....
Two-wayclusteringIn this article we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit, and GMM. This variance estimator enables cluster-robust inference when there is two-way or multiway clustering that is nonnested. The variance ...
Basics of cluster-robust inference 2.2 Cluster-robust variance matrix estimate When to Cluster and at what level Rule of thumb: with one-way clustering then approximately the incorrect default OLS variance estimate should be in‡ated by τj ' 1 + ρxj ρu (N¯ g 1) I (1) ρxj is...