Cameron, A. Colin; Gelbach, Jonah B.; Miller, Douglas L.; … - Economics Department, University of California-Davis - 2009
In this paper we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit and GMM. This variance estimator enables cluster-robust inference when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the...