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Robust Inference with Clustered Data

Author

Listed:
  • 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.

Suggested Citation

  • A. Colin Cameron & Douglas L. Miller, 2010. "Robust Inference with Clustered Data," Working Papers 318, University of California, Davis, Department of Economics.
  • Handle: RePEc:cda:wpaper:318
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Cluster robust; random e ects; xed e ects; di erences in di erences; cluster bootstrap; few clusters; multi-way clusters.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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