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Robust Inference with Clustered Data

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  • A. Colin Cameron
  • Douglas L. Miller

    (Department of Economics, University of California Davis)

Abstract

In this paper we survey methods to control for regression model error that is correlated within groups or clusters, but is uncorrelated across groups or clusters. Then failure to control for the clustering can lead to understatement of standard errors and overstatement of statistical significance, as emphasized most notably in empirical studies by Moulton (1990) and Bertrand, Duflo and Mullainathan (2004). We emphasize OLS estimation with statistical inference based on minimal assumptions regarding the error correlation process. Complications we consider include cluster-specific fixed effects, few clusters, multi-way clustering, more efficient feasible GLS estimation, and adaptation to nonlinear and instrumental variables estimators.

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Bibliographic Info

Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 106.

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Length: 28
Date of creation: 25 Mar 2010
Date of revision:
Handle: RePEc:cda:wpaper:10-6

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Related research

Keywords: Cluster robust; random e ects; xed e ects; di erences in di erences; cluster bootstrap; few clusters; multi-way clusters.;

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References

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Citations

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Cited by:
  1. Casaburi, Lorenzo & Minerva, G. Alfredo, 2011. "Production in advance versus production to order: The role of downstream spatial clustering and product differentiation," Journal of Urban Economics, Elsevier, vol. 70(1), pages 32-46, July.
  2. Kai A. Konrad & Tim Lohse & Salmai Qari, 2011. "Customs Compliance and the Power of Imagination," Working Papers customs_compliance_and_th, Max Planck Institute for Tax Law and Public Finance.
  3. Jonathan Timmis, . "The Internet and International Trade in Goods," Discussion Papers 12/03, University of Nottingham, School of Economics.
  4. Mansour, Hani & Rees, Daniel I., 2011. "The Effect of Prenatal Stress on Birth Weight: Evidence from the al-Aqsa Intifada," IZA Discussion Papers 5535, Institute for the Study of Labor (IZA).
  5. M. Burker & C. Franco & G. A. Minerva, 2011. "Foreign ownership, firm performance, and the geography of civic capital," Working Papers wp782, Dipartimento Scienze Economiche, Universita' di Bologna.
  6. Jonathan Timmis, . "The Internet and International Trade in Goods," Discussion Papers 12/08, University of Nottingham, GEP.
  7. d'Adda, Giovanna, 2011. "Social Status and Influence: Evidence from an Artefactual Field Experiment on Local Public Good Provision," Proceedings of the German Development Economics Conference, Berlin 2011 22, Verein für Socialpolitik, Research Committee Development Economics.

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