Inference with few heterogeneous clusters
File(s)ReStatBehrensFisher.pdf (634.43 KB)
Published version
Author(s)
Ibragimov, R
Müller, Ulrich K
Type
Journal Article
Abstract
Suppose estimating a model on each of a small number of potentially heterogeneous clusters yields approximately independent, unbiased, and Gaussian parameter estimators. We make two contributions in this setup. First, we show how to compare a scalar parameter of interest between treatment and control units using a two-sample t-statistic, extending previous results for the one-sample t-statistic. Second, we develop a test for the appropriate level of clustering; it tests the null hypothesis that clustered standard errors from a much finer partition are correct. We illustrate the approach by revisiting empirical studies involving clustered, time series, and spatially correlated data.
Date Issued
2016-03
Date Acceptance
2015-03-30
Citation
Review of Economics and Statistics, 2016, 98 (1), pp.83-96
ISSN
0034-6535
Publisher
Massachusetts Institute of Technology Press
Start Page
83
End Page
96
Journal / Book Title
Review of Economics and Statistics
Volume
98
Issue
1
Copyright Statement
© 2016 The President and Fellows of Harvard College and the Massachusetts Institute of Technology. Inference with Few Heterogeneous Clusters
Rustam Ibragimov
and
Ulrich K. Müller
The Review of Economics and Statistics 2016 98:1, 83-96
Rustam Ibragimov
and
Ulrich K. Müller
The Review of Economics and Statistics 2016 98:1, 83-96
Sponsor
National Science Foundation
Grant Number
SES-0820124
Subjects
Social Sciences
Economics
Social Sciences, Mathematical Methods
Business & Economics
Mathematical Methods In Social Sciences
PANEL-DATA
ROBUST INFERENCE
IN-DIFFERENCES
TIME-SERIES
T-TEST
HETEROSKEDASTICITY
TESTS
ERRORS
BOUNDS
VARIABLES
1402 Applied Economics
1403 Econometrics
Economics
Publication Status
Published
Date Publish Online
2016-03-04