arXiv 29 Apr 2026 · Econometrics
arXiv:2604.27215 · PDF · DOI · OpenAlex · Extracted main text
We prove the validity of using subsampling method for inference under a two-way clustered panel in which the time effects are serially correlated. Subsamples should be drawn without replacement from randomly partitioned individual index set and consecutive blocks of time effects. We present two subsampling inference methods: estimating the quantiles directly and constructing the confidence interval by first estimating the asymptotic variance. The quantile method is very adaptive, allowing for non-Gaussian limit which invalidates all existing methods in two-way clustering with serial correlation. Although the variance method only works under Gaussian limit, it comes with a data-driven bandwidth selection algorithm and a bias-correction under suitable estimators. Monte Carlo simulations demonstrate our methods exhibiting the desired coverage level in the finite sample except when the serial correlation is extremely strong. This paper is the first one that allows for inference on non-Gaussian asymptotics under two-way clustering with serial correlation.
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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 | 0.928 | 4 | 3 | 100% |
| 2 | Hounyo, U. and Lin, J (2024) Reliable Wild Bootstrap Inference with Multiway Clustering | 0.874 | 5 | 2 | 100% |
| 3 | Chiang, H. D., Hansen, B. E., and Sasaki, Y (2024) Standard Errors for Two-Way Clustering with Serially Correlated Time Effects | 0.860 | 11 | 4 | 64% |
| 4 | Bühlmann, P (1996) Locally Adaptive Lag-Window Spectral Estimation | 0.737 | 3 | 2 | 100% |
| 5 | Chen, K. and Vogelsang, T. J (2024) Fixed-b asymptotics for panel models with two-way clustering | 0.737 | 3 | 2 | 100% |
| 6 | Andrews, D. W. K (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation | 0.644 | 2 | 2 | 100% |
| 7 | Politis, D. N., Romano, J. P., and Wolf, M (1999) Subsampling | 0.644 | 2 | 2 | 100% |
| 8 | Carlstein, E (1986) The Use of Subseries Values for Estimating the Variance of a General Statistic from a Stationary Sequence | 0.511 | 2 | 2 | 50% |
| 9 | Andrews, D. W. K. and Monahan, J. C (1992) An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator | 0.405 | 1 | 1 | 100% |
| 10 | Bertrand, M., Duflo, E., and Mullainathan, S (2004) How Much Should We Trust Differences-In-Differences Estimates? | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 26 scored citations.