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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 107.

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Length: 28
Date of creation: 06 Apr 2010
Date of revision:
Handle: RePEc:cda:wpaper:10-7

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Related research

Keywords: Cluster robust; random effects; fixed effects; differences in differences; cluster bootstrap; few clusters; multi-way clusters.;

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References

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Citations

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Cited by:
  1. Kai A. Konrad & Tim Lohse & Salmai Qari, 2012. "Customs Compliance and the Power of Imagination," CESifo Working Paper Series 3702, CESifo Group Munich.
  2. von Hinke Kessler Scholder, SM, . "School meal crowd out in the 1980s," Working Papers 6942, Imperial College, London, Imperial College Business School.
  3. 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).
  4. Matthew D. Webb, 2013. "Reworking Wild Bootstrap Based Inference for Clustered Errors," Working Papers 1315, Queen's University, Department of Economics.
  5. Baumgarten, Daniel, 2013. "Exporters and the rise in wage inequality: Evidence from German linked employer–employee data," Journal of International Economics, Elsevier, vol. 90(1), pages 201-217.
  6. 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.
  7. Ambrey, Christopher L. & Fleming, Christopher M. & Chan, Andrew Yiu-Chung, 2014. "Estimating the cost of air pollution in South East Queensland: An application of the life satisfaction non-market valuation approach," Ecological Economics, Elsevier, vol. 97(C), pages 172-181.
  8. Karapetyan, Deanna & d'Adda, Giovanna, 2014. "Determinants of conservation among the rural poor: A charitable contribution experiment," Ecological Economics, Elsevier, vol. 99(C), pages 74-87.
  9. Jonathan Timmis, . "The Internet and International Trade in Goods," Discussion Papers 12/08, University of Nottingham, GEP.
  10. Jonathan Timmis, . "The Internet and International Trade in Goods," Discussion Papers 12/03, University of Nottingham, School of Economics.
  11. Bürker, Matthias & Franco, Chiara & Minerva, G. Alfredo, 2013. "Foreign ownership, firm performance, and the geography of civic capital," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 964-984.
  12. 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.
  13. Mansour, Hani & Rees, Daniel I., 2012. "Armed conflict and birth weight: Evidence from the al-Aqsa Intifada," Journal of Development Economics, Elsevier, vol. 99(1), pages 190-199.
  14. Cygan-Rehm, Kamila & Maeder, Miriam, 2013. "The effect of education on fertility: Evidence from a compulsory schooling reform," Labour Economics, Elsevier, vol. 25(C), pages 35-48.

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