CLUSTER-SAMPLE METHODS IN APPLIED ECONOMETRICS:AN EXTENDED ANALYSISJeffrey M. WooldridgeDepartment of EconomicsMichigan State UniversityEast Lansing, MI 48824-1038(517) 353-5972[email protected]This version: June 20061
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ABSTRACTThis is an expanded version of Wooldridge (2003), which provided an overview ofcluster-sample methods in linear models. Here I include additional details for linear modelsand provide, as much as possible, a parallel treatment for nonlinear models, including asummary of strategies for dealing with data sets having a small number of clusters.Keywords: Cluster Correlation; Generalized Estimating Equations; Minimum DistanceEstimation; Panel Data; Robust Variance Matrix; Unobserved EffectJEL Classification Codes: C13, C21, C232