Robust Inference with Multi-way Clustering

Preprint OPEN
A. Colin Cameron; Jonah B. Gelbach; Douglas L. Miller; Doug Miller;
  • Subject: cluster-robust standard errors; two-way clustering; multi-way clustering.
    • jel: jel:C12 | jel:C21 | jel:C23

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... View more
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