How cluster-robust inference is changing applied econometrics
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- James G. MacKinnon, 2019. "How cluster‐robust inference is changing applied econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(3), pages 851-881, August.
- James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 52(3), pages 851-881, August.
References listed on IDEAS
- Guido W. Imbens & Michal Kolesár, 2016.
"Robust Standard Errors in Small Samples: Some Practical Advice,"
The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 701-712, October.
- Guido W. Imbens & Michal Kolesar, 2012. "Robust Standard Errors in Small Samples: Some Practical Advice," NBER Working Papers 18478, National Bureau of Economic Research, Inc.
- James G. MacKinnon & Matthew D. Webb, 2018.
"The wild bootstrap for few (treated) clusters,"
Econometrics Journal, Royal Economic Society, vol. 21(2), pages 114-135, June.
- James G. MacKinnon & Matthew D. Webb, 2017. "The Wild Bootstrap For Few (treated) Clusters," Working Paper 1364, Economics Department, Queen's University.
- A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2008.
"Bootstrap-Based Improvements for Inference with Clustered Errors,"
The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 414-427, August.
- Jonah B. Gelbach & Doug Miller & A. Colin Cameron, 2006. "Bootstrap-Based Improvements for Inference with Clustered Errors," Working Papers 128, University of California, Davis, Department of Economics.
- A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2007. "Bootstrap-Based Improvements for Inference with Clustered Errors," NBER Technical Working Papers 0344, National Bureau of Economic Research, Inc.
- Timothy G. Conley & Christopher R. Taber, 2011.
"Inference with "Difference in Differences" with a Small Number of Policy Changes,"
The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 113-125, February.
- Timothy Conley & Christopher Taber, 2005. "Inference with "Difference in Differences" with a Small Number of Policy Changes," NBER Technical Working Papers 0312, National Bureau of Economic Research, Inc.
- Thompson, Samuel B., 2011. "Simple formulas for standard errors that cluster by both firm and time," Journal of Financial Economics, Elsevier, vol. 99(1), pages 1-10, January.
- A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2011.
"Robust Inference With Multiway Clustering,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 238-249, April.
- Cameron, A. Colin & Gelbach, Jonah B. & Miller, Douglas L., 2011. "Robust Inference With Multiway Clustering," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 238-249.
- A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2006. "Robust Inference with Multi-way Clustering," NBER Technical Working Papers 0327, National Bureau of Economic Research, Inc.
- Kline Patrick & Santos Andres, 2012.
"A Score Based Approach to Wild Bootstrap Inference,"
Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 23-41, August.
- Patrick M. Kline & Andres Santos, 2010. "A Score Based Approach to Wild Bootstrap Inference," NBER Working Papers 16127, National Bureau of Economic Research, Inc.
- Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard, 2019.
"Asymptotic theory and wild bootstrap inference with clustered errors,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 393-412.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2018. "Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors," Working Paper 1399, Economics Department, Queen's University.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen, 2019. "Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors," CREATES Research Papers 2019-05, Department of Economics and Business Economics, Aarhus University.
- Stanislav Kolenikov, 2010. "Resampling variance estimation for complex survey data," Stata Journal, StataCorp LP, vol. 10(2), pages 165-199, June.
- Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, July.
- Andrew V. Carter & Kevin T. Schnepel & Douglas G. Steigerwald, 2017. "Asymptotic Behavior of a t -Test Robust to Cluster Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 99(4), pages 698-709, July.
- Francesco Decarolis, 2014. "Awarding Price, Contract Performance, and Bids Screening: Evidence from Procurement Auctions," American Economic Journal: Applied Economics, American Economic Association, vol. 6(1), pages 108-132, January.
- James G. MacKinnon & Matthew D. Webb, 2018.
"The wild bootstrap for few (treated) clusters,"
Econometrics Journal, Royal Economic Society, vol. 21(2), pages 114-135, June.
- James G. MacKinnon & Matthew D. Webb, 2018. "The wild bootstrap for few (treated) clusters," Econometrics Journal, Royal Economic Society, vol. 21(2), pages 114-135.
- James G. MacKinnon & Matthew D. Webb, 2017. "The Wild Bootstrap For Few (treated) Clusters," Working Paper 1364, Economics Department, Queen's University.
- repec:tpr:journl:edfpol:v:10:y:2015:i:4:p:508-534 is not listed on IDEAS
- Stephen G. Donald & Kevin Lang, 2007. "Inference with Difference-in-Differences and Other Panel Data," The Review of Economics and Statistics, MIT Press, vol. 89(2), pages 221-233, May.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Davidson, Russell & MacKinnon, James G., 1999.
"The Size Distortion Of Bootstrap Tests,"
Econometric Theory, Cambridge University Press, vol. 15(3), pages 361-376, June.
- Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
- Davidson, Russell & MacKinnon, James G., 1996. "The Size Distortion of Bootstrap Tests," Queen's Institute for Economic Research Discussion Papers 273347, Queen's University - Department of Economics.
- James E. Pustejovsky & Elizabeth Tipton, 2018. "Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 672-683, October.
- David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2019.
"Fast and wild: Bootstrap inference in Stata using boottest,"
Stata Journal, StataCorp LP, vol. 19(1), pages 4-60, March.
- James G. MacKinnon & Morten Ørregaard Nielsen & David Roodman & Matthew D. Webb, 2018. "Fast and Wild: Bootstrap Inference in Stata Using boottest," CREATES Research Papers 2018-34, Department of Economics and Business Economics, Aarhus University.
- David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2018. "Fast And Wild: Bootstrap Inference In Stata Using Boottest," Working Paper 1406, Economics Department, Queen's University.
- A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004.
"How Much Should We Trust Differences-In-Differences Estimates?,"
The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 249-275.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc.
- Cory Koedel & Eric Parsons & Michael Podgursky & Mark Ehlert, 2015.
"Teacher Preparation Programs and Teacher Quality: Are There Real Differences Across Programs?,"
Education Finance and Policy, MIT Press, vol. 10(4), pages 508-534, October.
- Cory Koedel & Mark Ehlert & Michael Podgursky & Eric Parsons, 2012. "Teacher Preparation Programs and Teacher Quality: Are There Real Differences Across Programs?," Working Papers 1204, Department of Economics, University of Missouri, revised 13 Jul 2012.
- James G. MacKinnon & Matthew D. Webb, 2019.
"Wild Bootstrap Randomization Inference for Few Treated Clusters,"
Advances in Econometrics, in: Kim P. Huynh & David T. Jacho-chávez & Gautam Tripathi (ed.), The Econometrics of Complex Survey Data, volume 39, pages 61-85,
Emerald Publishing Ltd.
- James G. MacKinnon & Matthew D. Webb, 2018. "Wild Bootstrap Randomization Inference For Few Treated Clusters," Working Paper 1404, Economics Department, Queen's University.
- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Paper 537, Economics Department, Queen's University.
- Davidson, Russell & MacKinnon, James G., 2010.
"Wild Bootstrap Tests for IV Regression,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 128-144.
- Russell Davidson & James G. MacKinnon, 2007. "Wild Bootstrap Tests For Iv Regression," Departmental Working Papers 2007-14, McGill University, Department of Economics.
- James G. MacKinnon & Russell Davidson, 2007. "Wild Bootstrap Tests For Iv Regression," Working Paper 1135, Economics Department, Queen's University.
- Russell Davidson & James Mackinnon, 2009. "Wild bootstrap tests for IV regression," Working Papers halshs-00443550, HAL.
- Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B., 2011. "Inference with dependent data using cluster covariance estimators," Journal of Econometrics, Elsevier, vol. 165(2), pages 137-151.
- Keith Finlay & Leandro M. Magnusson, 2019. "Two applications of wild bootstrap methods to improve inference in cluster‐IV models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 911-933, September.
- Frank Kleibergen, 2002.
"Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression,"
Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
- Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.
- Abadie, Alberto & Diamond, Alexis & Hainmueller, Jens, 2010. "Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California’s Tobacco Control Program," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 493-505.
Citations
Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Back to School Reading
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2019-09-01 13:40:00
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gerling, Lena & Kellermann, Kim Leonie, 2019. "The impact of election information shocks on populist party preferences: Evidence from Germany," CIW Discussion Papers 3/2019, University of Münster, Center for Interdisciplinary Economics (CIW).
- James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2020. "Testing for the appropriate level of clustering in linear regression models," Working Paper 1428, Economics Department, Queen's University.
- Andreas Hagemann, 2019. "Permutation inference with a finite number of heterogeneous clusters," Papers 1907.01049, arXiv.org.
- Sanghyun Hong & W. Robert Reed, 2019. "Towards an Experimental Framework for Assessing Meta-Analysis Methods, with a Focus on Andrews-Kasy Estimators," Working Papers in Economics 19/13, University of Canterbury, Department of Economics and Finance.
- Samantha Rawlings & Zahra Siddique, 2020. "Domestic Violence and Child Mortality in the Developing World," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(4), pages 723-750, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.
- James G. MacKinnon & Morten Ø. Nielsen & Matthew D. Webb, 2019.
"Wild Bootstrap and Asymptotic Inference with Multiway Clustering,"
Working Paper
1415, Economics Department, Queen's University.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2020. "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," CREATES Research Papers 2020-06, Department of Economics and Business Economics, Aarhus University.
- Hansen, Bruce E. & Lee, Seojeong, 2019.
"Asymptotic theory for clustered samples,"
Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
- Bruce E. Hansen & Seojeong Jay Lee, 2017. "Asymptotic Theory for Clustered Samples," Discussion Papers 2017-18, School of Economics, The University of New South Wales.
- Bruce E. Hansen & Seojeong Lee, 2019. "Asymptotic Theory for Clustered Samples," Papers 1902.01497, arXiv.org.
- Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard, 2019.
"Asymptotic theory and wild bootstrap inference with clustered errors,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 393-412.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2018. "Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors," Working Paper 1399, Economics Department, Queen's University.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen, 2019. "Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors," CREATES Research Papers 2019-05, Department of Economics and Business Economics, Aarhus University.
- James G. MacKinnon & Matthew D. Webb, 2017. "Pitfalls When Estimating Treatment Effects Using Clustered Data," Working Paper 1387, Economics Department, Queen's University.
- James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2020. "Testing for the appropriate level of clustering in linear regression models," Working Paper 1428, Economics Department, Queen's University.
- Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen, 2017. "Validity Of Wild Bootstrap Inference With Clustered Errors," Working Paper 1383, Economics Department, Queen's University.
- MacKinnon, James G. & Webb, Matthew D., 2020.
"Randomization inference for difference-in-differences with few treated clusters,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 435-450.
- James G. MacKinnon & Matthew D. Webb, 2016. "Randomization Inference for Difference-in-Differences with Few Treated Clusters," Carleton Economic Papers 16-11, Carleton University, Department of Economics.
- James G. MacKinnon & Matthew D. Webb, 2019. "Randomization Inference For Difference-in-differences With Few Treated Clusters," Working Paper 1355, Economics Department, Queen's University.
- Andreas Hagemann, 2019. "Permutation inference with a finite number of heterogeneous clusters," Papers 1907.01049, arXiv.org.
- James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2017. "Bootstrap And Asymptotic Inference With Multiway Clustering," Working Paper 1386, Economics Department, Queen's University.
- David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2019.
"Fast and wild: Bootstrap inference in Stata using boottest,"
Stata Journal, StataCorp LP, vol. 19(1), pages 4-60, March.
- James G. MacKinnon & Morten Ørregaard Nielsen & David Roodman & Matthew D. Webb, 2018. "Fast and Wild: Bootstrap Inference in Stata Using boottest," CREATES Research Papers 2018-34, Department of Economics and Business Economics, Aarhus University.
- David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2018. "Fast And Wild: Bootstrap Inference In Stata Using Boottest," Working Paper 1406, Economics Department, Queen's University.
- Dorner, Matthias & Görlitz, Katja, 2020. "Training, wages and a missing school graduation cohort," Ruhr Economic Papers 858, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2018.
"The wild bootstrap with a "small" number of "large" clusters,"
CeMMAP working papers
CWP27/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2019. "The Wild Bootstrap with a Small Number of Large Clusters," CeMMAP working papers CWP40/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dorner, Matthias & Görlitz, Katja, 2020. "Training, Wages and a Missing School Graduation Cohort," IZA Discussion Papers 13490, Institute of Labor Economics (IZA).
- Carpenter, Christopher S. & Gonzales, Gilbert & McKay, Tara & Sansone, Dario, 2020.
"Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples,"
IZA Discussion Papers
13119, Institute of Labor Economics (IZA).
- Christopher S. Carpenter & Gilbert Gonzales & Tara McKay & Dario Sansone, 2020. "Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples," Papers 2004.02296, arXiv.org.
- Christopher S. Carpenter & Gilbert Gonzales Jr. & Tara McKay & Dario Sansone, 2020. "Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples," NBER Working Papers 26978, National Bureau of Economic Research, Inc.
- Clarke, Damian & Tapia Schythe, Kathya, 2020.
"Implementing the Panel Event Study,"
MPRA Paper
101669, University Library of Munich, Germany.
- Clarke, Damian & Schythe, Kathya Tapia, 2020. "Implementing the Panel Event Study," IZA Discussion Papers 13524, Institute of Labor Economics (IZA).
- Damian Clarke & Kathya Tapia Schythe, 2020. "Implementing the Panel Event Study," Working Papers wp497, University of Chile, Department of Economics.
- Lauren E. Jones & Kevin Milligan & Mark Stabile, 2019.
"Child cash benefits and family expenditures: Evidence from the National Child Benefit,"
Canadian Journal of Economics, Canadian Economics Association, vol. 52(4), pages 1433-1463, November.
- Lauren E. Jones & Kevin Milligan & Mark Stabile, 2019. "Child cash benefits and family expenditures: Evidence from the National Child Benefit," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1433-1463, November.
- Lauren E. Jones & Kevin S. Milligan & Mark Stabile, 2015. "Child Cash Benefits and Family Expenditures: Evidence from the National Child Benefit," NBER Working Papers 21101, National Bureau of Economic Research, Inc.
- Bruno Ferman & Cristine Pinto, 2019.
"Inference in Differences-in-Differences with Few Treated Groups and Heteroskedasticity,"
The Review of Economics and Statistics, MIT Press, vol. 101(3), pages 452-467, July.
- Ferman, Bruno & Pinto, Cristine, 2015. "Inference in Differences-in-Differences with Few Treated Groups and Heteroskedasticity," MPRA Paper 67665, University Library of Munich, Germany.
- Ferman, Bruno & Pinto, Cristine Campos de Xavier, 2015. "Inference in differences-in-differences with few treated groups and heteroskedasticity," Textos para discussão 406, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Bullinger, Lindsey Rose, 2019. "The Effect of Paid Family Leave on Infant and Parental Health in the United States," Journal of Health Economics, Elsevier, vol. 66(C), pages 101-116.
- Hagemann, Andreas, 2019. "Placebo inference on treatment effects when the number of clusters is small," Journal of Econometrics, Elsevier, vol. 213(1), pages 190-209.
More about this item
Keywords
clustered data; cluster-robust variance estimator; CRVE; wild cluster bootstrap; robust inference;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-03-25 (Econometrics)
- NEP-ETS-2019-03-25 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1413. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock). General contact details of provider: http://edirc.repec.org/data/qedquca.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.