Clustering. It's Kind of a Big Deal.

By now, all of us know that we need to cluster standard errors. We also know it's easy enough to do in Stata. But what are we actually doing when we add that little command to the end of our regress statement? Find out all you need to know here (working paper version here).

My favorite clustering haiku written by Keisuke Hirano (original version had robust standard errors instead of clustered ones). Found this version in Mostly Harmless:

T-stat looks too good.
Use clustered standard errors--
significance gone.