Inference with few heterogeneous clusters

File Description SizeFormat 
ReStatBehrensFisher.pdfPublished version634.43 kBAdobe PDFDownload
Title: Inference with few heterogeneous clusters
Author(s): Ibragimov, R
Item 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 set-up. 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, which 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.
Publication Date: 4-Mar-2016
Date of Acceptance: 30-Mar-2015
URI: http://hdl.handle.net/10044/1/45881
DOI: https://dx.doi.org/10.1162/REST_a_00545
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
Keywords: 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
Economics
1402 Applied Economics
1403 Econometrics
Publication Status: Published
Appears in Collections:Imperial College Business School



Items in Spiral are protected by copyright, with all rights reserved, unless otherwise indicated.

Creative Commons