English
Related papers

Related papers: Asymptotic Theory for Two-Way Clustering

200 papers

We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing…

Econometrics · Economics 2023-12-15 Harold D Chiang , Bruce E Hansen , Yuya Sasaki

This paper extends the design-based framework to settings with multi-way cluster dependence, and shows how multi-way clustering can be justified when clustered assignment and clustered sampling occurs on different dimensions, or when either…

Econometrics · Economics 2023-09-06 Luther Yap

This paper studies analytic inference along two dimensions of clustering. In such setups, the commonly used approach has two drawbacks. First, the corresponding variance estimator is not necessarily positive. Second, inference is invalid in…

Econometrics · Economics 2026-02-20 Laurent Davezies , Xavier D'Haultfœuille , Yannick Guyonvarch

If multiway cluster-robust standard errors are used routinely in applied economics, surprisingly few theoretical results justify this practice. This paper aims to fill this gap. We first prove, under nearly the same conditions as with…

Econometrics · Economics 2018-08-06 Laurent Davezies , Xavier D'Haultfoeuille , Yannick Guyonvarch

Econometric applications with multi-way clustering often feature a small number of effective clusters or heavy-tailed data, making standard cluster-robust and bootstrap inference unreliable in finite samples. In this paper, we develop a…

Methodology · Statistics 2026-01-14 Wenxuan Guo , Panos Toulis , Yuhao Wang

This paper develops bootstrap procedures for inference in linear regression models with two-way clustered data. We characterize the estimator's asymptotic behavior in five mutually exclusive and exhaustive regimes: three Gaussian and two…

Statistics Theory · Mathematics 2026-05-04 Ulrich Hounyo , Jiahao Lin

This paper focuses on a setting with observations having a cluster dependence structure and presents two main impossibility results. First, we show that when there is only one large cluster, i.e., the researcher does not have any knowledge…

Econometrics · Economics 2023-06-07 Denis Kojevnikov , Kyungchul Song

We provide a complete asymptotic distribution theory for clustered data with a large number of independent groups, generalizing the classic laws of large numbers, uniform laws, central limit theory, and clustered covariance matrix…

Econometrics · Economics 2026-02-03 Bruce E. Hansen , Seojeong Lee

Thousands of papers have reported two-way cluster-robust (TWCR) standard errors. However, the recent econometrics literature points out the potential non-gaussianity of two-way cluster sample means, and thus invalidity of the inference…

Econometrics · Economics 2023-02-01 Harold D Chiang , Yuya Sasaki

The problem of clustering is considered, for the case when each data point is a sample generated by a stationary ergodic process. We propose a very natural asymptotic notion of consistency, and show that simple consistent algorithms exist,…

Machine Learning · Computer Science 2013-05-01 Daniil Ryabko

The problem of clustering is considered, for the case when each data point is a sample generated by a stationary ergodic process. We propose a very natural asymptotic notion of consistency, and show that simple consistent algorithms exist,…

Machine Learning · Computer Science 2010-05-31 Daniil Ryabko

The overwhelming majority of empirical research that uses cluster-robust inference assumes that the clustering structure is known, even though there are often several possible ways in which a dataset could be clustered. We propose two tests…

Econometrics · Economics 2023-03-14 James G. MacKinnon , Morten Ørregaard Nielsen , Matthew D. Webb

We prove the validity of using subsampling method for inference under a two-way clustered panel in which the time effects are serially correlated. Subsamples should be drawn without replacement from randomly partitioned individual index set…

Econometrics · Economics 2026-05-01 Haonan Miao

This paper develops a general asymptotic theory for nonparametric kernel regression in the presence of cluster dependence. We examine nonparametric density estimation, Nadaraya-Watson kernel regression, and local linear estimation. Our…

Econometrics · Economics 2024-12-31 Yuya Shimizu

For linear regression models with cross-section or panel data, it is natural to assume that the disturbances are clustered in two dimensions. However, the finite-sample properties of two-way cluster-robust tests and confidence intervals are…

Econometrics · Economics 2026-03-13 James G. MacKinnon , Morten Ørregaard Nielsen , Matthew D. Webb

This paper presents and analyzes an approach to cluster-based inference for dependent data. The primary setting considered here is with spatially indexed data in which the dependence structure of observed random variables is characterized…

Statistics Theory · Mathematics 2022-11-16 Jianfei Cao , Christian Hansen , Damian Kozbur , Lucciano Villacorta

This paper studies inference for quadratic forms of linear regression coefficients with clustered data and many covariates. Our framework covers three important special cases: instrumental variables regression with many instruments and…

Econometrics · Economics 2026-02-18 Michal Kolesár , Pengjin Min , Wenjie Wang , Yichong Zhang

We study inference for linear quantile regression with two-way clustered data. Using a separately exchangeable array framework and a projection decomposition of the quantile score, we characterize regime-dependent convergence rates and…

Econometrics · Economics 2026-05-26 Ulrich Hounyo , Jiahao Lin

It is common practice in empirical work to employ cluster-robust standard errors when using the linear regression model to estimate some structural/causal effect of interest. Researchers also often include a large set of regressors in their…

Econometrics · Economics 2019-04-09 Riccardo D'Adamo

This paper considers inference when there is a single treated cluster and a fixed number of control clusters, a setting that is common in empirical work, especially in difference-in-differences designs. We use the t-statistic and develop…

Econometrics · Economics 2025-11-11 Chun Pong Lau , Xinran Li
‹ Prev 1 2 3 10 Next ›