Niccodemi, Gianmaria; Wansbeek, Tom - In: Econometrics : open access journal 10 (2022) 1, pp. 1-7
In linear regression analysis, the estimator of the variance of the estimator of the regression coefficients should take into account the clustered nature of the data, if present, since using the standard textbook formula will in that case lead to a severe downward bias in the standard errors....
