Clustering of standard errors
Posted: 09 April 2014 10:36 AM   [ Ignore ]
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Helpful discussion of clustering of standard errors:

Mark Ma, Are We Really Doing What We Think We Are Doing? A Note on Finite-Sample Estimates of Two-Way Clustered Standard Errors
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420421

Mark Ma has been so kind to make a SAS macro available, see: http://www.wrds.us/index.php/repository/view/36

Mahmood Arai, Cluster-robust standard errors using R
http://people.su.se/~ma/clustering.pdf

Helpful example of clustering when using random effects model (proc mixed) in SAS: http://support.sas.com/documentation/cdl/en/statug/63033/HTML/default/viewer.htm#statug_mixed_sect006.htm

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