We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the simplest of these, but also the most computationally demanding, involves...

For linear regression models with cross-section or panel data, it is natural to assume that the disturbances are clustered in two dimensions. However, the finite-sample properties of two-way cluster-robust tests and confidence intervals are often poor. We discuss several ways to improve...

We provide new and computationally attractive methods, based on jackknifing by cluster, to obtain cluster-robust variance matrix estimators (CRVEs) for linear regres- sion models estimated by least squares. These estimators have previously been com- putationally infeasible except for small...

Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the...

The astonishing increase in computer performance over the past two decades has made it possible for economists to base many statistical inferences on simulated, or bootstrap, distributions rather than on distributions obtained from asymptotic theory. In this paper, I review some of the basic...