QED Working Paper Number

We provide new and computationally attractive methods, based on jackknifing by cluster, to obtain cluster-robust variance matrix estimators (CRVEs) for linear regression models estimated by least squares. These estimators have previously been computationally infeasible except for small samples. We also propose several new variants of the wild cluster bootstrap, which involve the new CRVEs, jackknife-based bootstrap data-generating processes, or both.  Extensive simulation experiments suggest that the new methods can provide much more reliable inferences than existing ones in cases where the latter are not trustworthy, such as when the number of clusters is small and/or cluster sizes vary substantially.

JEL Codes
clustered data
grouped data
cluster-robust variance estimator
cluster sizes
wild cluster bootstrap
Working Paper