Fiche du document
4 septembre 2023
- 2309.01658
Mots-clés
Economics - EconometricsSujets proches
Inspection by samplingCiter ce document
Luther Yap, « Design-Based Multi-Way Clustering », arXiv - économie
Partage / Export
Résumé
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 sampling or assignment is multi-way clustered. Unlike one-way clustering, the plug-in variance estimator in multi-way clustering is no longer conservative, so valid inference either requires an assumption on the correlation of treatment effects or a more conservative variance estimator. Simulations suggest that the plug-in variance estimator is usually robust, and the conservative variance estimator is often too conservative.