A handmade clubSandwich for multi-site trials

I’m just back from the Society for Research on Educational Effectiveness meetings, where I presented work on small-sample corrections for cluster-robust variance estimators in two-stage least squares models, which I’ve implemented in the clubSandwich R package. Here’s my presentation. So I had “clubSandwich” estimators on the brain when a colleague asked me about whether the methods were implemented in SAS. The short answer is “no.” The moderately longer answer is “not unless we can find funding to pay someone who knows how to program properly in SAS.

2SLS standard errors and the delta-method

I just covered instrumental variables in my course on causal inference, and so I have two-stage least squares (2SLS) estimation on the brain. In this post I’ll share something I realized in the course of prepping for class: that standard errors from 2SLS estimation are equivalent to delta method standard errors based on the Wald IV estimator. (I’m no econometrician, so this had never occurred to me before. Perhaps it will be interesting to other non-econometrician readers.