Robust Inference With Multiway Clustering

• Published in: Journal of business & economic statistics Vol. 29; no. 2; pp. 238 - 249
• Main Authors: Cameron, A. Colin, Gelbach, Jonah B., Miller, Douglas L.
• Format: Journal Article
• Language: English
• Published: Alexandria Taylor & Francis 01.04.2011; American Statistical Association; Taylor & Francis Ltd
• Subjects: Analytical estimating; Cluster-robust standard errors; Correlations; Economic models; Estimating techniques; Estimation methods; Estimators; Inference; Monte Carlo simulation; Standard error; Statistical estimation; Statistical inference; Statistical variance; Studies; Two-way clustering; Variance analysis; Working papers

In this article we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit, and GMM. This variance estimator enables cluster-robust inference when there is two-way or multiway clustering that is nonnested. The variance estimator extends the standa...