Transcription of A Practitioner’s Guide to Cluster-Robust Inference
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A Practitioner’s Guide to Cluster-Robust Inference
1 A Practitioner s Guide to Cluster-Robust Inference A. Colin Cameron and Douglas L. Miller Abstract We consider statistical Inference for regression when data are grouped into clusters, with regression model errors independent across clusters but correlated within clusters. Examples include data on individuals with clustering on village or region or other category such as industry, and state-year differences-in-differences studies with clustering on state. In such settings default standard errors can greatly overstate estimator precision.
microeconometrics research. And we will post on our websites more expansive Stata code and the datasets used in this paper. A second goal is presenting how to deal with complications such as determining when th ere is a need to cluster, incorporating fixed effects, and inference when there are few clusters.
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