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econ.EM2024
Clustering with Potential Multidimensionality: Inference and Practice
Ruonan Xu, Luther Yap
We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for va…
econ.EM2024
Inference with Many Weak Instruments and Heterogeneity
Luther Yap
This paper considers inference in a linear instrumental variable regression model with many potentially weak instruments, in the presence of heterogeneous treatment effects. I firs…