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