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📜 SIDE QUEST · DEEP DIVE
· ◆◆◆◆ · ~10 min
Robust & Clustered Standard Errors
Robust & Clustered Standard Errors
"Heteroskedasticity was one way the usual standard errors break; grouped data is another. A deep dive on getting the uncertainty right when observations aren't independent."
heteroskedasticity-robust standard errorsclustered (grouped) errorswhen and at what level to clusterthe cost of ignoring clustering
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