Estimation and exclusion restrictions in clustered linear models
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866917316882595840 |
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| author | Mikusheva, Anna Sølvsten, Mikkel Jing, Baiyun |
| author_facet | Mikusheva, Anna Sølvsten, Mikkel Jing, Baiyun |
| contents | We study linear regression models with clustered data, high-dimensional controls, and intricate exclusion restrictions. We propose a correctly centered internal instrument IV estimator that accommodates a broad class of exclusion restrictions and allows within-cluster dependence. The estimator admits a simple leave-out interpretation and is computationally tractable. We derive a central limit theorem for the associated quadratic form and propose a robust variance estimator. We also develop identification-robust inference procedures. Our framework extends dynamic panel methods to general clustered settings. We illustrate the approach in a large-scale fiscal intervention in rural Kenya, where spatial interference generates the exclusion-restriction pattern. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_12860 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Estimation and exclusion restrictions in clustered linear models Mikusheva, Anna Sølvsten, Mikkel Jing, Baiyun Econometrics Methodology We study linear regression models with clustered data, high-dimensional controls, and intricate exclusion restrictions. We propose a correctly centered internal instrument IV estimator that accommodates a broad class of exclusion restrictions and allows within-cluster dependence. The estimator admits a simple leave-out interpretation and is computationally tractable. We derive a central limit theorem for the associated quadratic form and propose a robust variance estimator. We also develop identification-robust inference procedures. Our framework extends dynamic panel methods to general clustered settings. We illustrate the approach in a large-scale fiscal intervention in rural Kenya, where spatial interference generates the exclusion-restriction pattern. |
| title | Estimation and exclusion restrictions in clustered linear models |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/2508.12860 |