Niccodemi, Gianmaria; Wansbeek, Tom - In: Econometrics : open access journal 10 (2022) 1, pp. 1-7
to clusters the classical heteroskedasticity-robust estimator. Its justification is asymptotic in the number of clusters …. Although an improvement, a considerable bias could remain when the number of clusters is low, the more so when regressors are …3VE-λ, a generalization of CR3VE where the cluster size is allowed to vary freely between clusters. We illustrate the …