Seminar

Past

Estimation in linear models with clustered data

Anna Mikusheva

  • Date24 March 2026
  • Time 15h30 - 16h50
  • Room Auditorium 4

Abstract

We study linear regression models with clustered data, high-dimensional controls, and a complicated structure of exclusion restrictions. We propose a correctly centered internal IV estimator that accommodates a variety of exclusion restrictions and permits within-cluster dependence. The estimator has a simple leave-out interpretation and remains computationally tractable. We derive a central limit theorem for its quadratic form and propose a robust variance estimator. We also develop inference methods that remain valid under weak identification. Our framework extends classical dynamic panel methods to more general clustered settings. An empirical application of a large-scale fiscal intervention in rural Kenya with spatial interference illustrates the approach.

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