arXiv 20 Nov 2024 · Econometrics · 1 citations (OpenAlex)
arXiv:2411.13372 · PDF · DOI · OpenAlex · Extracted main text
We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for variance estimation are either conservative or invalid, we propose a variance estimator that refines a conservative procedure and remains valid. We then interpret environments where clustering is frequently employed in empirical work from our design-based perspective and provide insights on their estimands and inference procedures.
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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 | Abadie, A., Athey, S., Imbens, G.W., and Wooldridge, J.M (2023) When should you adjust standard errors for clustering? | 1.000 | 10 | 4 | 100% |
| 2 | Davezies, L., D'Haultfoeuille, X., and Guyonvarch, Y (2018) Asymptotic results under multiway clustering | 1.000 | 5 | 3 | 100% |
| 3 | Yap, L (2023) General conditions for valid inference in multi-way clustering self | 0.941 | 6 | 3 | 83% |
| 4 | Athey, S. and Imbens, G.W (2022) Design-based analysis in difference-in-differences settings with staggered adoption | 0.874 | 5 | 2 | 100% |
| 5 | Abadie, A., Athey, S., Imbens, G.W., and Wooldridge, J.M (2020) Sampling-based versus design-based uncertainty in regression analysis | 0.843 | 3 | 3 | 100% |
| 6 | Cameron, A.C., Gelbach, J.B., and Miller, D.L (2011) Robust inference with multiway clustering | 0.843 | 3 | 3 | 100% |
| 7 | Antecol, H., Bedard, K., and Stearns, J (2018) Equal but inequitable: Who benefits from gender-neutral tenure clock stopping policies? | 0.693 | 8 | 1 | 100% |
| 8 | Chiang, H.D. and Sasaki, Y (2023) On using the two-way cluster-robust standard errors | 0.644 | 2 | 2 | 100% |
| 9 | Liang, K. and Zeger, S.L (1986) Longitudinal data analysis using generalized linear models | 0.644 | 2 | 2 | 100% |
| 10 | Menzel, K (2021) Bootstrap with cluster-dependence in two or more dimensions | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 43 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Variance Estimation with Dependence and Heterogeneous Means | 0.737 | 3 | 2 |