Robust Inference in High Dimensional Linear Model with Cluster Dependence
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2014.
"High-Dimensional Methods and Inference on Structural and Treatment Effects,"
Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 29-50, Spring.
- Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013. "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers CWP59/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013. "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers 59/13, Institute for Fiscal Studies.
- Guido W. Imbens & Michal Kolesár, 2016.
"Robust Standard Errors in Small Samples: Some Practical Advice,"
The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 701-712, October.
- Guido W. Imbens & Michal Kolesar, 2012. "Robust Standard Errors in Small Samples: Some Practical Advice," NBER Working Papers 18478, National Bureau of Economic Research, Inc.
- John J. Donohue III & Steven D. Levitt, 2001.
"The Impact of Legalized Abortion on Crime,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(2), pages 379-420.
- Donohue, John J. & Levitt, Steven D., 2000. "The Impact of Legalized Abortion on Crime," Berkeley Olin Program in Law & Economics, Working Paper Series qt00p599hk, Berkeley Olin Program in Law & Economics.
- John Donohue & Steven Levitt, 2000. "The Impact of Legalized Abortion on Crime," NBER Working Papers 8004, National Bureau of Economic Research, Inc.
- Anatolyev, Stanislav, 2018. "Almost unbiased variance estimation in linear regressions with many covariates," Economics Letters, Elsevier, vol. 169(C), pages 20-23.
- Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2018.
"Inference in Linear Regression Models with Many Covariates and Heteroscedasticity,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1350-1361, July.
- Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Inference in Linear Regression Models with Many Covariates and Heteroskedasticity," Papers 1507.02493, arXiv.org, revised Jan 2017.
- Cattaneo, Matias D & Jansson, Michael & Newey, Whitney K, 2018. "Inference in Linear Regression Models with Many Covariates and Heteroscedasticity," Department of Economics, Working Paper Series qt6rp7p9gs, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Matias Cattaneo & Michael Jansson & Whitney K. Newey, 2017. "Inference in linear regression models with many covariates and heteroskedasticity," CeMMAP working papers 03/17, Institute for Fiscal Studies.
- Matias Cattaneo & Michael Jansson & Whitney K. Newey, 2017. "Inference in linear regression models with many covariates and heteroskedasticity," CeMMAP working papers CWP03/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chesher, Andrew & Austin, Gerard, 1991. "The finite-sample distributions of heteroskedasticity robust Wald statistics," Journal of Econometrics, Elsevier, vol. 47(1), pages 153-173, January.
- Joshua Angrist & Victor Lavy, 2009. "The Effects of High Stakes High School Achievement Awards: Evidence from a Randomized Trial," American Economic Review, American Economic Association, vol. 99(4), pages 1384-1414, September.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-1222, September.
- William Rogers, 1994. "Regression standard errors in clustered samples," Stata Technical Bulletin, StataCorp LP, vol. 3(13).
- Arellano, M, 1987. "Computing Robust Standard Errors for Within-Groups Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 431-434, November.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020.
"Leave‐Out Estimation of Variance Components,"
Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
- Patrick Kline & Raffaele Saggio & Mikkel S{o}lvsten, 2018. "Leave-out estimation of variance components," Papers 1806.01494, arXiv.org, revised Aug 2019.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2019. "Leave-out Estimation of Variance Components," NBER Working Papers 26244, National Bureau of Economic Research, Inc.
- Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B., 2011. "Inference with dependent data using cluster covariance estimators," Journal of Econometrics, Elsevier, vol. 165(2), pages 137-151.
- Koen Jochmans, 2022.
"Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(538), pages 887-896, April.
- Jochmans, K., 2020. "Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates," Cambridge Working Papers in Economics 2033, Faculty of Economics, University of Cambridge.
- Valentin Verdier, 2020. "Estimation and Inference for Linear Models with Two-Way Fixed Effects and Sparsely Matched Data," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 1-16, March.
- A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Matthew D. Webb, 2023.
"Reworking wild bootstrap‐based inference for clustered errors,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(3), pages 839-858, August.
- Matthew D. Webb, 2014. "Reworking Wild Bootstrap Based Inference For Clustered Errors," Working Paper 1315, Economics Department, Queen's University.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023.
"Testing many restrictions under heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020. "Testing Many Restrictions Under Heteroskedasticity," Papers 2003.07320, arXiv.org, revised Jan 2023.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2021.
"Valid Heteroskedasticity Robust Testing,"
MPRA Paper
107420, University Library of Munich, Germany.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2021. "Valid Heteroskedasticity Robust Testing," MPRA Paper 117855, University Library of Munich, Germany, revised Jul 2023.
- Benedikt M. Potscher & David Preinerstorfer, 2021. "Valid Heteroskedasticity Robust Testing," Papers 2104.12597, arXiv.org, revised Jul 2023.
- Hansen, Bruce E. & Lee, Seojeong, 2019.
"Asymptotic theory for clustered samples,"
Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
- Bruce E. Hansen & Seojeong Jay Lee, 2017. "Asymptotic Theory for Clustered Samples," Discussion Papers 2017-18, School of Economics, The University of New South Wales.
- Bruce E. Hansen & Seojeong Lee, 2019. "Asymptotic Theory for Clustered Samples," Papers 1902.01497, arXiv.org.
- Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
- MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023.
"Cluster-robust inference: A guide to empirical practice,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 272-299.
- Matthew D. Webb & James MacKinnon & Morten Nielsen, 2021. "Cluster–robust inference: A guide to empirical practice," Economics Virtual Symposium 2021 6, Stata Users Group.
- James MacKinnon & Morten Ørregaard Nielsen, 2022. "Cluster-Robust Inference: A Guide to Empirical Practice," CREATES Research Papers 2022-08, Department of Economics and Business Economics, Aarhus University.
- James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2022. "Cluster-Robust Inference: A Guide to Empirical Practice," Papers 2205.03285, arXiv.org.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022. "Cluster-Robust Inference: A Guide to Empirical Practice," Working Paper 1456, Economics Department, Queen's University.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2017. "Validity Of Wild Bootstrap Inference With Clustered Errors," Working Paper 1383, Economics Department, Queen's University.
- Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
- Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard, 2019.
"Asymptotic theory and wild bootstrap inference with clustered errors,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 393-412.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2018. "Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors," Working Paper 1399, Economics Department, Queen's University.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen, 2019. "Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors," CREATES Research Papers 2019-05, Department of Economics and Business Economics, Aarhus University.
- Kranz, Sebastian, 2024. "From Replications to Revelations: Heteroskedasticity-Robust Inference," MPRA Paper 122724, University Library of Munich, Germany.
- James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.
- Andreas Hagemann, 2019. "Permutation inference with a finite number of heterogeneous clusters," Papers 1907.01049, arXiv.org, revised Feb 2023.
- James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2017. "Bootstrap And Asymptotic Inference With Multiway Clustering," Working Paper 1386, Economics Department, Queen's University.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023.
"Fast and reliable jackknife and bootstrap methods for cluster‐robust inference,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 671-694, August.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022. "Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference," Working Paper 1485, Economics Department, Queen's University.
- James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2023. "Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference," Papers 2301.04527, arXiv.org, revised Feb 2023.
- Riccardo D'Adamo, 2018. "Cluster-Robust Standard Errors for Linear Regression Models with Many Controls," Papers 1806.07314, arXiv.org, revised Apr 2019.
- Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
- James G. MacKinnon, 2019.
"How cluster‐robust inference is changing applied econometrics,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(3), pages 851-881, August.
- James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 52(3), pages 851-881, August.
- James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Working Paper 1413, Economics Department, Queen's University.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2023.
"How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?,"
Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
- Benedikt M. Potscher & David Preinerstorfer, 2020. "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," Papers 2005.04089, arXiv.org, revised Nov 2021.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2020. "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," MPRA Paper 100234, University Library of Munich, Germany.
- Bruno Ferman, 2023.
"Inference in difference‐in‐differences: How much should we trust in independent clusters?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 358-369, April.
- Bruno Ferman, 2019. "Inference in Difference-in-Differences: How Much Should We Trust in Independent Clusters?," Papers 1909.01782, arXiv.org, revised Sep 2022.
- Ferman, Bruno, 2019. "Inference in Differences-in-Differences: How Much Should We Trust in Independent Clusters?," MPRA Paper 93746, University Library of Munich, Germany.
- MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023.
"Testing for the appropriate level of clustering in linear regression models,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 2027-2056.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2022. "Testing for the appropriate level of clustering in linear regression models," Working Paper 1428, Economics Department, Queen's University.
- James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2023. "Testing for the appropriate level of clustering in linear regression models," Papers 2301.04522, arXiv.org, revised Mar 2023.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-16 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2212.05554. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.