publication . Other literature type . Article . Preprint . Research . Report . 2009

Robust Inference with Multi-way Clustering

A. Colin Cameron; Jonah B. Gelbach; Douglas L. Miller; Doug Miller;
  • Published: 01 May 2009
  • Publisher: Informa UK Limited
Abstract
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 en- ables 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 es- timator 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 o¤er cluster-robust standard errors when there is one-way clustering. The meth...
Subjects
free text keywords: cluster-robust standard errors; two-way clustering; multi-way clus- tering., C12, C21, C23, cluster-robust standard errors, two-way clustering, multi-way clustering, cluster-robust standard errors; two-way clustering; multi-way clustering., jel:C12, jel:C21, jel:C23, Monte Carlo method, Cluster analysis, k-medians clustering, Mathematics, Econometrics, Estimator, CURE data clustering algorithm, Correlation clustering, Random effects model, Statistics, Inference, ddc:330

Acemoglu, D., and J.-S. Pischke (2003), “Minimum Wages and On-the-job Training,” Research in Labor Economics, 22, 159-202.

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publication . Other literature type . Article . Preprint . Research . Report . 2009

Robust Inference with Multi-way Clustering

A. Colin Cameron; Jonah B. Gelbach; Douglas L. Miller; Doug Miller;