Inference for estimates of treatment effects with clustered data requires great care when treatment is assigned at the group level. This is true for both pure treatment models and difference-in-differences regressions. Even when the number of clusters is quite large, cluster-robust standard...

This paper studies the importance of accounting for term structure maturity clusters while estimating latent factors, for the purpose of forecasting yield curves. The maturity clusters are identified using a hierarchical clustering algorithm. We then propose a new block dynamic Nelson-Siegel...