Laurent Davezies, Xavier D'Haultfœuille, Yannick Guyonvarch
arXiv 25 Jun 2025 · Econometrics
arXiv:2506.20749 · PDF · DOI · OpenAlex · Extracted main text
This paper studies analytic inference along two dimensions of clustering. In such setups, the commonly used approach has two drawbacks. First, the corresponding variance estimator is not necessarily positive. Second, inference is invalid in non-Gaussian regimes, namely when the estimator of the parameter of interest is not asymptotically Gaussian. We consider a simple fix that addresses both issues. In Gaussian regimes, the corresponding tests are asymptotically exact and equivalent to usual ones. Otherwise, the new tests are asymptotically conservative. We also establish their uniform validity over a certain class of data generating processes. Independently of our tests, we highlight potential issues with multiple testing and nonlinear estimators under two-way clustering. Finally, we compare our approach with existing ones through simulations.
appendix boundary found by appendix_command · 24% of the source is main text. Read the extracted text to check this.
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, Konrad (2021) Bootstrap with cluster-dependence in two or more dimensions | 0.693 | 13 | 1 | 100% |
| 2 | Kallenberg, Olav (1989) On the representation theorem for exchangeable arrays | 0.511 | 4 | 1 | 50% |
| 3 | Aldous, D. J (1981) Representations for partially exchangeable arrays of random variables | 0.511 | 2 | 1 | 100% |
| 4 | Hoover, D. N (1979) Relations on probability spaces and arrays of random variables | 0.511 | 2 | 1 | 100% |
| 5 | Cameron, A Colin and Gelbach, Jonah B and Miller, Douglas L (2011) Robust inference with multiway clustering | 0.511 | 2 | 1 | 100% |
| 6 | Davezies, L. and D'Haultfœuille, X. and Guyonvarch, Y (2021) Empirical Process Results for Exchangeable Arrays self | 0.511 | 2 | 1 | 100% |
| 7 | MacKinnon, James G and Nielsen, Morten Ørregaard and Webb, Matthew D (2024) Jackknife inference with two-way clustering | 0.511 | 2 | 1 | 100% |
| 8 | Miglioretti, Diana L and Heagerty, Patrick J (2007) Marginal modeling of nonnested multilevel data using standard software | 0.511 | 2 | 1 | 100% |
| 9 | Thompson, Samuel B (2011) Simple formulas for standard errors that cluster by both firm and time | 0.511 | 2 | 1 | 100% |
| 10 | Chen, Jiahua and J.N.K. Rao (2007) Asymptotic Normalityunder Two-Phase Sampling Designs | 0.405 | 2 | 1 | 50% |
Showing the top 10 of 18 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.