arXiv 31 Jan 2023 · Econometrics · 4 citations (OpenAlex)
arXiv:2301.13775 · PDF · DOI · OpenAlex · Extracted main text
Thousands of papers have reported two-way cluster-robust (TWCR) standard errors. However, the recent econometrics literature points out the potential non-gaussianity of two-way cluster sample means, and thus invalidity of the inference based on the TWCR standard errors. Fortunately, simulation studies nonetheless show that the gaussianity is rather common than exceptional. This paper provides theoretical support for this encouraging observation. Specifically, we derive a novel central limit theorem for two-way clustered triangular arrays that justifies the use of the TWCR under very mild and interpretable conditions. We, therefore, hope that this paper will provide a theoretical justification for the legitimacy of most, if not all, of the thousands of those empirical papers that have used the TWCR standard errors. We provide a guide in practice as to when a researcher can employ the TWCR standard errors.
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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 | Menzel, K (2021) Bootstrap with cluster-dependence in two or more dimensions | 1.000 | 8 | 3 | 100% |
| 2 | Cameron, C. A., J. B. Gelbach, and D. L. Miller (2011) Robust inference with multiway clustering | 1.000 | 7 | 3 | 100% |
| 3 | Thompson, S. B (2011) Simple formulas for standard errors that cluster by both firm and time | 1.000 | 7 | 3 | 100% |
| 4 | Davezies, L., X. D'Haultfuille, and Y. Guyonvarch (2021) Empirical process results for exchangeable arrays | 1.000 | 6 | 3 | 100% |
| 5 | Khashimov, S. A (1989) b): On the limit distribution of a two-sample von Mises functional with variable kernel | 0.874 | 6 | 3 | 67% |
| 6 | Bickel, P. J., A. Chen, and E. Levina (2011) The method of moments and degree distributions for network models | 0.843 | 3 | 3 | 100% |
| 7 | Hall, P (1984) Central limit theorem for integrated square error of multivariate nonparametric density estimators | 0.737 | 3 | 3 | 67% |
| 8 | Eubank, R. and S. Wang (1999) A central limit theorem for the sum of generalized linear and quadratic forms | 0.737 | 3 | 2 | 100% |
| 9 | Graham, B. S., F. Niu, and J. L. Powell (2022) Kernel density estimation for undirected dyadic data | 0.737 | 3 | 2 | 100% |
| 10 | Graham, B. S (2022) Sparse network asymptotics for logistic regression under possible misspecification, Tech | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 32 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Clustering with Potential Multidimensionality: Inference and Practice | 0.644 | 2 | 2 |
| 2 | Multiway empirical likelihood | 0.405 | 1 | 1 |
| 3 | Asymptotic Theory for Two-Way Clustering | 0.405 | 1 | 1 |
| 4 | Normal Approximation for U-Statistics with Cross-Sectional Dependence | 0.405 | 1 | 1 |
| 5 | Analytic inference with two-way clustering | 0.405 | 1 | 1 |