Clustering with Potential Multidimensionality: Inference and Practice

• Tác giả: Ruonan Xu, Luther Yap
• Ngôn ngữ: eng
• Ký hiệu phân loại: 512.5 Linear algebra
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 205054

Tóm tắt

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.