st: Minimum number of observations per cluster for clustered standard errors in IV?

[Jen Zhen <jenzhen99@gmail.com>]

Dear listers,

I sent this question as an add-on to my earlier inquiry under a
different headline and just realized that this way it may not reach
its audience, hence I'm putting it into a different thread now:

I am trying to choose how to cluster my SEs in ivreg2. I understand
from Nichols (2007) and Angrist and Pischke that I should pick a
dimension with which I get at least 42 or 50 different clusters. Now
that's in extremo easy to satisfy if I cluster by observation. But I
guess there should also not be too few observations per cluster. But I
haven't found anything on what is "too few" here.

Is there any evidence providing for a minimum number of obs per
cluster, or a minimum on the average, median, P10 etc number? Any
other useful criterion?

I suppose that when using 2 way clustering then each of my 2
dimensions should on their own satisfy the respective requirement?

Thank you so much and kind regards,
JZ
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