arXiv 10 Jan 2023 · Econometrics · publishedJournal of Econometrics (2025) · 1 citations (OpenAlex)
arXiv:2301.03805 · PDF · DOI · OpenAlex · Extracted main text
This paper proves a new central limit theorem for a sample that exhibits two-way dependence and heterogeneity across clusters. Statistical inference for situations with both two-way dependence and cluster heterogeneity has thus far been an open issue. The existing theory for two-way clustering inference requires identical distributions across clusters (implied by the so-called separate exchangeability assumption). Yet no such homogeneity requirement is needed in the existing theory for one-way clustering. The new result therefore theoretically justifies the view that two-way clustering is a more robust version of one-way clustering, consistent with applied practice. In an application to linear regression, I show that a standard plug-in variance estimator is valid for inference.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ross, N (2011) Fundamentals of Stein’s method | 0.935 | 11 | 3 | 82% |
| 2 | Menzel, K (2021) Bootstrap With Cluster-Dependence in Two or More Dimensions | 0.874 | 8 | 2 | 100% |
| 3 | Hansen, B. E. and S. Lee (2019) Asymptotic theory for clustered samples | 0.874 | 7 | 2 | 100% |
| 4 | MacKinnon, J. G., M. . Nielsen, and M. D. Webb (2021) Wild bootstrap and asymptotic inference with multiway clustering | 0.874 | 5 | 2 | 100% |
| 5 | Verdier, V (2020) Estimation and inference for linear models with two-way fixed effects and sparsely matched data | 0.644 | 2 | 2 | 100% |
| 6 | Davezies, L., X. D’Haultfuille, and Y. Guyonvarch (2021) Empirical process results for exchangeable arrays | 0.585 | 3 | 1 | 100% |
| 7 | Jackson, C. K (2018) What do test scores miss? The importance of teacher effects on non–test score outcomes | 0.511 | 2 | 1 | 100% |
| 8 | Janson, S (1988) Normal convergence by higher semiinvariants with applications to sums of dependent random variables and random graphs | 0.511 | 2 | 1 | 100% |
| 9 | Michalopoulos, S. and E. Papaioannou (2013) Pre-colonial ethnic institutions and contemporary African development | 0.511 | 2 | 1 | 100% |
| 10 | Neumark, D., I. Burn, and P. Button (2019) Is it harder for older workers to find jobs? New and improved evidence from a field experiment | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 23 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Jackknife Inference with Two0.04167em–0.08333em Way Clustering | 0.874 | 9 | 3 |
| 2 | Analytic inference with two-way clustering | 0.405 | 1 | 1 |
| 3 | Variance Estimation with Dependence and Heterogeneous Means | 0.405 | 1 | 1 |