Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Clustering Standard Errors at the Session Level

Vol.36, No.2, June , 1–29



  •   (Yonsei University)

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Abstract  

Session-specific features of a laboratory experiment, if those exist, do not disappear by clustering standard errors at the session level. Randomly ordering or counterbalancing sessions to deal with sampling issues, cannot justify clustering the standard errors at the session level. Unlike empirical studies, for laboratory experimental studies, the experimental design reflected on the researchers' intention should primarily determine the clustering level. In a typical controlled laboratory experiment where subjects make choices in the same environment repeatedly, clustering at a participant level is intended by the experimental design, and standard errors could be larger (that is, a statistical inference could be more conservative) when clustered at the individual or decision-group level than the session level. It implies that clustering standard errors at the session level can lead to false-positive treatment effects if it is mistakenly chosen. Having a small per-session sample to increase the number of sessions could yield undesirable heterogeneities that are hard for the experimenter to control or observe.


Keywords
   Lab experiment, cluster-robust standard errors, statistical inference.

JEL classification codes
   C18, C90.
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