The DOI matches its Crossref record; 69 of the 69 references it cites were found in a registry or an index.
t-Statistic Based Correlation and Heterogeneity Robust Inference
Open accessAbstract
We develop a general approach to robust inference about a scalar parameter when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Sz´ekely (2005) concerning the small sample properties of the standard t-test: For a significance level of 5% or lower, the t-test remains conservative for underlying observations that are independent and Gaussian with heterogenous variances. One might thus conduct robust large sample inference as follows: partition the data into q ≥ 2 groups, estimate the model for each group and conduct a standard t-test with the resulting q parameter estimators. This results in valid inference as long as the groups are chosen in a way that ensures the parameter estimators to be asymptotically independent, unbiased and Gaussian of possibly different variances. We provide examples of how to apply this approach to time series, panel, clustered and spatially correlated data.
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Cites
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Cited by
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
A Practitioner’s Guide to Cluster-Robust Inference
Colin Cameron, A., & Miller, D. L. (2015) · Journal of Human Resources · doi:10.3368/jhr.50.2.317 · Cited by 5,037
Bootstrap-Based Improvements for Inference With Clustered Errors
Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2008) · Review of Economics and Statistics · doi:10.1162/rest.90.3.414 · Cited by 4,417
Robust Inference With Multiway Clustering
Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2011) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2010.07136 · Cited by 3,203
Does Management Matter? Evidence from India *
Bloom, N., Eifert, B., Mahajan, A., McKenzie, D., & Roberts, J. (2013) · The Quarterly Journal of Economics · doi:10.1093/qje/qjs044 · Cited by 1,418
Metadata
- Authors
- Ibragimov, R., & Müller, U. K.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2010-10
- Volume
- 28
- Issue
- 4
- Pages
- 453-468
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W3122427323
- Cited by
- 299
- References
- 69
- FWCI
- 9.57
- Type
- journal article
- Language
- en
- Open access
- green
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