What’s New in Econometrics?Lecture 8Cluster and Stratified SamplingJeff WooldridgeNBER Summer Institute, 20071. The Linear Model with Cluster Effects2. Estimation with a Small Number of Groups andLarge Group Sizes3. What ifGandMgare Both “Large”?4. Nonlinear Models1
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1.The Linear Model with Cluster Effects.∙For each group or clusterg, letygm,xg,zgm:m1,...,Mgbe the observabledata, whereMgis the number of units in clusterg,ygmis a scalar response,xgis a 1Kvectorcontaining explanatory variables that vary only atthe group level, andzgmis a 1Lvector ofcovariates that vary within (as well as across)groups.∙The linear model with an additive error isygmxgzgmvgm(1)form1,...,Mg,g1,...,G.∙Key questions: Are we primarily interested inor? Doesvgmcontain a common group effect, asin2