Clustering with Potential Multidimensionality: Inference and Practice

Ruonan Xu; Luther Yap

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arXiv · 2411.13372

Clustering with Potential Multidimensionality: Inference and Practice

Ruonan Xu·Luther Yap

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Abstract

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.

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BibTeX RIS

Ruonan Xu, Luther Yap. 2024-11-20. Clustering with Potential Multidimensionality: Inference and Practice. https://arxiv.org/abs/2411.13372

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