Comments on: 42 clusters references swap http://www.mostlyharmlesseconometrics.com/2010/03/42-clusters-references-swap/ Sun, 29 Jan 2012 23:59:44 +0000 hourly 1 By: josh http://www.mostlyharmlesseconometrics.com/2010/03/42-clusters-references-swap/comment-page-1/#comment-669 josh Sun, 29 Jan 2012 23:59:44 +0000 http://www.mostlyharmlesseconometrics.com/?p=649#comment-669 try this one Ilyssa: Journal of Econometrics 141 (2007) 597–620 (C Hansen, 'Asymptotic Properties . . ." Hansen doesn't mention Canada but he does report Monte Carlos for a scenario with N=10 in the cross-sectional dimension. A caution, as we noted in MHE 8.2.3 on fewer than 42 clusters: Alas, the bottom line here is not entirely clear. Also, we don't know too much about the finite sample behavior of two-way clustering procedures. It's not clear you wouldn't be better off just to fatten up the cluster in one dimension and ignore the second. I'm sure someone is working on that (or at least they should be!) JA try this one Ilyssa: Journal of Econometrics 141 (2007) 597–620 (C Hansen, ‘Asymptotic Properties . . .”
Hansen doesn’t mention Canada but he does report Monte Carlos for a scenario with N=10 in the cross-sectional dimension.

A caution, as we noted in MHE 8.2.3 on fewer than 42 clusters: Alas, the bottom line here is not entirely clear.

Also, we don’t know too much about the finite sample behavior of two-way clustering procedures. It’s not clear you wouldn’t be better off just to fatten up the cluster in one dimension and ignore the second. I’m sure someone is working on that (or at least they should be!)

JA

]]> By: Ilyssa http://www.mostlyharmlesseconometrics.com/2010/03/42-clusters-references-swap/comment-page-1/#comment-667 Ilyssa Sun, 29 Jan 2012 16:27:36 +0000 http://www.mostlyharmlesseconometrics.com/?p=649#comment-667 I don't see the Canada reference in either Hansen paper. I'm not lucky enough to be studying the 50 U.S. states but rather the 10 Canadian provinces. :( Would the t distribution of G-k be such that k is at least 2? That is, k = 2 if there is exactly one regressor that induces that Moulton problem. I don’t see the Canada reference in either Hansen paper. I’m not lucky enough to be studying the 50 U.S. states but rather the 10 Canadian provinces. :( Would the t distribution of G-k be such that k is at least 2? That is, k = 2 if there is exactly one regressor that induces that Moulton problem.

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