Asymptotic Theory for Clustered Samples
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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.
- ORCID
- Lee, Seojeong
- 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
- bronze
- doi.org
- Licence
- 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
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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