Cluster Robust Standard Errors in R with {clubSandwich}

Recording from UseR Oslo's meetup on February 3rd, 2022 -
https://www.meetup.com/Oslo-useR-Grou...

The slides used in this talk can be found here:
https://www.jepusto.com/files/clubSan...

[About]
Cluster-robust variance estimation methods (also known as sandwich estimators, linearization estimators, or simply "clustered" standard errors) are a standard inferential tool in many different areas of applied statistics. They are appealing because they provide a means to do inference for regression models without relying on strong assumptions about the distribution or dependence structure of errors. However, standard cluster-robust variance estimators are based on large-sample approximations and can perform poorly when based on a small number of clusters.

In the talk, James provided an overview of some refinements to cluster-robust variance estimators, as implemented in his package {clubSandwich} (https://CRAN.R-project.org/package=cl..., that perform well even with a limited number of clusters.

He provides a brief, high-level sketch of the theory behind the refined methods, discussing the practical rationale for using the methods, and demonstrates their application with the clubSandwich package, focusing in particular on linear mixed models. In addition to linear mixed models, the methods are available for a range of regression models and estimation methods, including ordinary least squares, weighted least squares, two-stage least squares, generalized linear models, and meta-regression models.

[Bio]
James Pustejovsky is a statistician and Associate Professor in the School of Education at the University of Wisconsin-Madison. His research involves developing statistical methods for problems in social science research, with a focus on methods for meta-analysis. He completed his Ph.D. in statistics from Northwestern University in 2013. His homepage is https://www.jepusto.com/