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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 09-9
- Klassifikation
-
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
- Thema
-
cluster-robust standard errors
two-way clustering
multi-way clustering
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Miller, Douglas L.
Cameron, A. Colin
Gelbach, Jonah
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Department of Economics
- (wo)
-
Davis, CA
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Miller, Douglas L.
- Cameron, A. Colin
- Gelbach, Jonah
- University of California, Department of Economics
Entstanden
- 2009
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