Cited by 81Spatial and Panel Data AnalysisStatistical Methods and InferenceAdvanced Causal Inference Techniques

Asymptotic Theory for Clustered Samples

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Hansen, Bruce E., Lee, Seojeong·2019·Journal of Econometrics

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Crossref · 10.1016/j.jeconom.2019.02.001

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42 of 42 references verified0 citation errors · 0 not checkable

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  • Event-study estimates are often estimated via OLS, and standard covariance estimators for OLS, including cluster-robust variance estimators, produce asymptotically normal estimates as the number of clusters grows large.

    “Although somewhat more restrictive, event-study estimates are often estimated via OLS, and standard covariance estimators for OLS, including cluster-robust variance estimators, produce asymptotically normal estimates as the number of clusters grows large (Hansen, 2007;Stock and Watson, 2008;Hansen and Lee, 2019).”

    From A More Credible Approach to Parallel Trends (2023) · cites this paper as Hansen and Lee, 2019

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Authors
Hansen, B. E., & Lee, S.
Affiliations
UNSW Sydney (AU)
Corresponding author
Hansen, Bruce E.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
2019-06
Volume
210
Issue
2
Pages
268-290
ISSN
0304-4076 (ISSN-L)
OpenAlex
W2800471254
Cited by
81
References
45
Citations by year
2026: 9 · 2025: 10 · 2024: 17 · 2023: 19 · 2022: 4 · 2021: 10 · 2020: 5 · 2019: 5 · 2018: 1 · 2017: 1
FWCI
7.50
Type
journal article
Language
en
Open access
Locations
  • Journal of Econometrics (acceptedVersion)
  • arXiv (Cornell University) (submittedVersion)
  • UNSWorks (University of New South Wales, Sydney, Australia) (submittedVersion, cc-by-nc-nd)
Funders
  • National Science Foundation (DE170100787)
  • Australian Research Council Discovery Early Career Researcher Award
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
Keywords
clustered data, asymptotic distribution theory, law of large numbers, uniform law, central limit theorem, linear least squares, two-stage least squares

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