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Estimation in linear models with clustered data

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  • Anna Mikusheva
  • Mikkel S{o}lvsten
  • Baiyun Jing

Abstract

We study linear regression models with clustered data, high-dimensional controls, and a complicated structure of exclusion restrictions. We propose a correctly centered internal IV estimator that accommodates a variety of exclusion restrictions and permits within-cluster dependence. The estimator has a simple leave-out interpretation and remains computationally tractable. We derive a central limit theorem for its quadratic form and propose a robust variance estimator. We also develop inference methods that remain valid under weak identification. Our framework extends classical dynamic panel methods to more general clustered settings. An empirical application of a large-scale fiscal intervention in rural Kenya with spatial interference illustrates the approach.

Suggested Citation

  • Anna Mikusheva & Mikkel S{o}lvsten & Baiyun Jing, 2025. "Estimation in linear models with clustered data," Papers 2508.12860, arXiv.org.
  • Handle: RePEc:arx:papers:2508.12860
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    References listed on IDEAS

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