Before revision:  Monte Carlo simulations suggest that inference based on either asymptotic normality and our variance estimator or the pigeonhole bootstrap may be accurate even with a very small number of clustersin each dimension .
After revision:  Monte Carlo simulations suggest that inference based on either asymptotic normality and our variance estimator or the pigeonhole bootstrap may be accurate even with very few clusters, and significantly improve upon inference based on Cameron et al. (2011) .