We introduce an extension of the dynamical mean-field approximation (D
MFA) that retains the causal properties and generality of the DMFA, bu
t allows for systematic inclusion of nonlocal corrections. Our techniq
ue maps the problem to a self-consistently embedded cluster. The DMFA
(exact result) is recovered as the cluster size goes to 1 (infinity).
As a demonstration, we study the Falicov-Kimball model using a variety
of cluster sizes. We show that the sum rules are preserved, the spect
ra are positive definite, and the nonlocal correlations suppress the c
harge-density wave transition temperature. [S0163-1829(98)51436-1].