Arbeitspapier
Robust inference with multi-way clustering
In 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 when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the standard cluster-robust variance estimator or sandwich estimator for one-way clustering (e.g. Liang and Zeger (1986), Arellano (1987)) and relies on similar relatively weak distributional assumptions. Our method is easily implemented in statistical packages, such as Stata and SAS, that already oþer cluster-robust standard errors when there is one-way clustering. The method is demonstrated by a Monte Carlo analysis for a two-way random effects model; a Monte Carlo analysis of a placebo law that extends the state-year eþects example of Bertrand et al. (2004) to two dimensions; and by application to studies in the empirical literature where two-way clustering is present.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 09-9
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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cluster-robust standard errors
two-way clustering
multi-way clustering
- Event
-
Geistige Schöpfung
- (who)
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Miller, Douglas L.
Cameron, A. Colin
Gelbach, Jonah
- Event
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Veröffentlichung
- (who)
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University of California, Department of Economics
- (where)
-
Davis, CA
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Miller, Douglas L.
- Cameron, A. Colin
- Gelbach, Jonah
- University of California, Department of Economics
Time of origin
- 2009
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Robust inference in deconvolution
Robust inference with clustered data
Robust inference with clustered data
KMD clustering: robust general-purpose clustering of biological data
Bootstrap and Asymptotic Inference with Multiway Clustering
Robust Bayesian inference in proxy SVARs
Robust Inference in Risk Elicitation Tasks
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