So You Don't ALWAYS Have to Cluster..In Fact, Often You Shouldn't

I have been meaning to blog about this new paper all weekend and just never got around to it---I wonder if that happens often with econometrics papers. Anyway, my procrastination paid off this time because David McKenzie just posted a truly excellent description of the paper. 

My summary of David's summary: There are times when we all know we have to cluster, and we know exactly the level at which we should cluster. In those times, cluster! There are other times when it isn't clear that we have to cluster, but a referee or a seminar participant can always suggest a new, completely not obvious potential way to cluster. In those times, read the Abadie, Athey, Imbens and Wooldridge paper, then read David's description, and then really think about whether you should be clustering in your particular context.  

Shakespeare had it all wrong! The real question is, "To cluster or not to cluster..."  But now, we have an answer!