2024/11/20 by Ruonan Xu, Luther Yap, Xu, Ruonan +1
Computer Science · #Advanced Clustering Algorithms Research #Econometrics (econ.EM) #FOS: Economics and business
paper · pdf · doi:10.48550/arxiv.2411.13372
openalex publication_date 2024/11/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for variance estimation are either conservative or invalid, we propose a variance estimator that refines a conservative procedure and remains valid. We then interpret environments where clustering is frequently employed in empirical work from our design-based perspective and provide insights on their estimands and inference procedures.