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10 janvier 2023
- 2301.03805
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Economics - EconometricsSujets proches
Induction, Ampliative Ampliative induction Inference (Logic)Citer ce document
Luther Yap, « Asymptotic Theory for Two-Way Clustering », arXiv - économie
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Résumé
This paper proves a new central limit theorem for a sample that exhibits two-way dependence and heterogeneity across clusters. Statistical inference for situations with both two-way dependence and cluster heterogeneity has thus far been an open issue. The existing theory for two-way clustering inference requires identical distributions across clusters (implied by the so-called separate exchangeability assumption). Yet no such homogeneity requirement is needed in the existing theory for one-way clustering. The new result therefore theoretically justifies the view that two-way clustering is a more robust version of one-way clustering, consistent with applied practice. In an application to linear regression, I show that a standard plug-in variance estimator is valid for inference.