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I want to understand when and why multi-way clustering is necessary.

Could anyone give a good example that provides intuition of when and why to use multi-way clustering that also illustrates why clustering at a group level is not sufficient?

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  • $\begingroup$ Paper: Robust Inference With Multi-Way Clustering Leaving this for anyone else who stumbles across this page looking for information on clustering. I will also provide an outline of the paper once I have a bit of time this week. $\endgroup$
    – 123
    May 2 '16 at 12:33
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    $\begingroup$ Also, you might want to have a look at the empirical limitations of clustering: economics.mit.edu/files/11355, in other words: when is clustering a bad idea. $\endgroup$
    – dv_bn
    May 2 '16 at 14:09

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