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Robust Standard Errors in Small Samples: Some Practical Advice

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  1. 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.
  2. MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023. "Testing for the appropriate level of clustering in linear regression models," Journal of Econometrics, Elsevier, vol. 235(2), pages 2027-2056.
  3. Nicolas Moreau, 2018. "A SAS macro for estimation and inference in differences-in-differences applications with within cluster correlation and cluster-corrections for a few clusters," Working Papers hal-01691476, HAL.
  4. Oshiro, Jun & Sato, Yasuhiro, 2021. "Industrial structure in urban accounting," Regional Science and Urban Economics, Elsevier, vol. 91(C).
  5. Chao Wang & Yue‐Jun Zhang, 2020. "Does environmental regulation policy help improve green production performance? Evidence from China's industry," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(2), pages 937-951, March.
  6. Renard Sexton, 2020. "Unpacking the Local Resource Curse: How Externalities and Governance Shape Social Conflict," Journal of Conflict Resolution, Peace Science Society (International), vol. 64(4), pages 640-673, April.
  7. Bergstrom,Katy Ann & Dodds,William & Robles Rios,Juan Carlos, 2022. "Welfare Analysis of Changing Notches: Evidence from Bolsa Família," Policy Research Working Paper Series 10117, The World Bank.
  8. Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
  9. Falck, Oliver & Heimisch-Roecker, Alexandra & Wiederhold, Simon, 2021. "Returns to ICT skills," Research Policy, Elsevier, vol. 50(7).
  10. Slawa Rokicki & Jessica Cohen & Gunther Fink & Joshua Salomon & Mary Beth Landrum, 2018. "Inference with difference-in-differences with a small number of groups: a review, simulation study and empirical application using SHARE data," CHaRMS Working Papers 18-01, Centre for HeAlth Research at the Management School (CHaRMS).
  11. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
  12. Federico A. Bugni & Ivan A. Canay & Azeem M. Shaikh, 2018. "Inference Under Covariate-Adaptive Randomization," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(524), pages 1784-1796, October.
  13. Wenjie Wang & Yichong Zhang, 2024. "Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters," Papers 2408.10686, arXiv.org.
  14. von Hippel, Paul T. & Bellows, Laura & Osborne, Cynthia & Lincove, Jane Arnold & Mills, Nick, 2016. "Teacher quality differences between teacher preparation programs: How big? How reliable? Which programs are different?," Economics of Education Review, Elsevier, vol. 53(C), pages 31-45.
  15. Mmbaga, Nick A. & Lerman, Michael P. & Munyon, Timothy P. & Lanivich, Stephen E., 2023. "Juggling Act: Waged time investments and the health–wealth trade-off," Journal of Business Research, Elsevier, vol. 158(C).
  16. Brewer Mike & Crossley Thomas F. & Joyce Robert, 2018. "Inference with Difference-in-Differences Revisited," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-16, January.
  17. 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.
  18. Renatas Kizys & Wael Rouatbi & Zaghum Umar & Adam Zaremba, 2024. "Air temperature and sovereign bond returns," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(2), pages 179-209, May.
  19. Andreas Hagemann, 2019. "Permutation inference with a finite number of heterogeneous clusters," Papers 1907.01049, arXiv.org, revised Feb 2023.
  20. Stefanie J. Huber & Tobias Schmidt, 2016. "Cross-Country Differences in Homeownership: A Cultural Phenomenon?," ERES eres2016_47, European Real Estate Society (ERES).
  21. Timothy Conley & Silvia Gonçalves & Christian Hansen, 2018. "Inference with Dependent Data in Accounting and Finance Applications," Journal of Accounting Research, Wiley Blackwell, vol. 56(4), pages 1139-1203, September.
  22. MacKinnon, James G., 2020. "Wild cluster bootstrap confidence intervals," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 721-743, Décembre.
  23. Bussolo Maurizio & Capelle Damien & Lokshin Michael M. & Torre Iván & Winkler Hernan, 2023. "Explaining the Evolution of Job Tenure in Europe, 1995–2020," IZA Journal of Labor Policy, Sciendo & Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 13(1), pages 1-32, January.
  24. Daniel Oto-Peralías & Diego Romero-Ávila, 2016. "The economic consequences of the Spanish Reconquest: the long-term effects of Medieval conquest and colonization," Journal of Economic Growth, Springer, vol. 21(4), pages 409-464, December.
  25. Hansen, Bruce E. & Lee, Seojeong, 2019. "Asymptotic theory for clustered samples," Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
  26. Pfaffermayr, Michael, 2021. "Confidence intervals for the trade cost parameters of cross-section gravity models," Economics Letters, Elsevier, vol. 201(C).
  27. Weidner, Martin & Zylkin, Thomas, 2021. "Bias and consistency in three-way gravity models," Journal of International Economics, Elsevier, vol. 132(C).
  28. MacKinnon, James G., 2023. "Fast cluster bootstrap methods for linear regression models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 52-71.
  29. Maurizio Bussolo & Michael M. Lokshin & Nicolás Oviedo & Iván Torre, 2024. "The evolution of job tenure in transition economies," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 32(2), pages 449-471, April.
  30. Alessie, Rob J.M. & Angelini, Viola & van den Berg, Gerard J. & Mierau, Jochen O. & Viluma, Laura, 2019. "Economic conditions at birth and cardiovascular disease risk in adulthood: Evidence from post-1950 cohorts," Social Science & Medicine, Elsevier, vol. 224(C), pages 77-84.
  31. Jeffrey D. Michler & Anna Josephson, 2022. "Recent developments in inference: practicalities for applied economics," Chapters, in: A Modern Guide to Food Economics, chapter 11, pages 235-268, Edward Elgar Publishing.
  32. Andrew C. Johnston & Alexandre Mas, 2018. "Potential Unemployment Insurance Duration and Labor Supply: The Individual and Market-Level Response to a Benefit Cut," Journal of Political Economy, University of Chicago Press, vol. 126(6), pages 2480-2522.
  33. MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023. "Cluster-robust inference: A guide to empirical practice," Journal of Econometrics, Elsevier, vol. 232(2), pages 272-299.
  34. Deaton, Angus & Cartwright, Nancy, 2018. "Understanding and misunderstanding randomized controlled trials," Social Science & Medicine, Elsevier, vol. 210(C), pages 2-21.
  35. 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.
  36. Peter Z. Schochet, "undated". "Statistical Theory for the RCT-YES Software: Design-Based Causal Inference for RCTs," Mathematica Policy Research Reports a0c005c003c242308a92c02dc, Mathematica Policy Research.
  37. Marianna BATTAGLIA & Bastien CHABÉ-FERRET & Lara LEBEDINSKI, 2021. "Segregation, fertility, and son preference: the case of the Roma in Serbia," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 87(2), pages 233-260, June.
  38. Alessio Terzi & Pasqual Marco Marrazzo, 2017. "Wide-reaching Structural Reforms and Growth: A Cross-country Synthetic Control Approach," Growth Lab Working Papers 96, Harvard's Growth Lab.
  39. Samuel Bazzi & Matthew Gudgeon, 2021. "The Political Boundaries of Ethnic Divisions," American Economic Journal: Applied Economics, American Economic Association, vol. 13(1), pages 235-266, January.
  40. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2024. "Jackknife Inference with Two-Way Clustering," Working Paper 1516, Economics Department, Queen's University.
  41. Congdon Fors, Heather & Houngbedji, Kenneth & Lindskog, Annika, 2019. "Land certification and schooling in rural Ethiopia," World Development, Elsevier, vol. 115(C), pages 190-208.
  42. Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
  43. Gazmararian, Alexander F., 2024. "Valuing the Future: Changing Time Horizons and Policy Preferences," OSF Preprints 2m9fy, Center for Open Science.
  44. Gabriel Chodorow-Reich & Gita Gopinath & Prachi Mishra & Abhinav Narayanan, 2020. "Cash and the Economy: Evidence from India’s Demonetization," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(1), pages 57-103.
  45. Joshua B. Miller & Adam Sanjurjo, 2019. "Surprised by the Hot Hand Fallacy? A Truth in the Law of Small Numbers," Papers 1902.01265, arXiv.org.
  46. Gita Gopinath & Emine Boz & Camila Casas & Federico J. Díez & Pierre-Olivier Gourinchas & Mikkel Plagborg-Møller, 2020. "Dominant Currency Paradigm," American Economic Review, American Economic Association, vol. 110(3), pages 677-719, March.
  47. Jere R. Francis & Wei Wang, 2021. "Common Auditors and Private Bank Loans," Contemporary Accounting Research, John Wiley & Sons, vol. 38(1), pages 793-832, March.
  48. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust," Stata Journal, StataCorp LP, vol. 23(4), pages 942-982, December.
  49. 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.
  50. Nicolas Lagios & Pierre-Guillaume Méon, 2021. "Experts, Information, Reviews, and Coordination: Evidence on How Literary Prizes Affect Sales," Working Papers CEB 21-011, ULB -- Universite Libre de Bruxelles.
  51. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
  52. 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.
  53. Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu, 2020. "Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference," Working Papers 202027, University of California at Riverside, Department of Economics.
  54. Yalei Zhai & Hisaki Kono, 2021. "The poor receive less: Remittance behaviour of female migrants in Myanmar," Journal of International Development, John Wiley & Sons, Ltd., vol. 33(5), pages 910-926, July.
  55. Tobias Pfaff & Johannes Hirata, 2013. "Testing the Easterlin Hypothesis with Panel Data: The Dynamic Relationship between Life Satisfaction and Economic Growth in Germany and the UK," SOEPpapers on Multidisciplinary Panel Data Research 554, DIW Berlin, The German Socio-Economic Panel (SOEP).
  56. Cong Cao & Markus Pauly & Frank Konietschke, 2020. "The Behrens–Fisher problem with covariates and baseline adjustments," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(2), pages 197-215, February.
  57. Matthew D. Webb, 2023. "Reworking wild bootstrap‐based inference for clustered errors," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(3), pages 839-858, August.
  58. Zaremba, Adam & Kizys, Renatas & Aharon, David Y., 2021. "Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
  59. Joshua B. Miller & Adam Sanjurjo, 2018. "Surprised by the Hot Hand Fallacy? A Truth in the Law of Small Numbers," Econometrica, Econometric Society, vol. 86(6), pages 2019-2047, November.
  60. Tom Boot & Gianmaria Niccodemi & Tom Wansbeek, 2023. "Unbiased estimation of the OLS covariance matrix when the errors are clustered," Empirical Economics, Springer, vol. 64(6), pages 2511-2533, June.
  61. 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.
  62. Marianna Battaglia & Selim Gulesci & Andreas Madestam, 2024. "Repayment Flexibility and Risk Taking: Experimental Evidence from Credit Contracts," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(5), pages 2635-2675.
  63. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Fast and reliable jackknife and bootstrap methods for cluster‐robust inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 671-694, August.
  64. Alessie, Rob & Angelini, Viola & van den Berg, Gerard J. & Mierau, Jochen O. & Viluma, Laura, 2017. "Economic Conditions at Birth and Cardiovascular Disease Risk in Adulthood: Evidence from New Cohorts," IZA Discussion Papers 10810, Institute of Labor Economics (IZA).
  65. Tyndall, Justin, 2021. "The local labour market effects of light rail transit," Journal of Urban Economics, Elsevier, vol. 124(C).
  66. Nicolas Moreau & Alexis Parmentier & Mylène Lebon-Eyquem, 2024. "Is training helpful in boosting the self-confidence and professional integration of young people not in employment, education, or training? Results from a randomized," TEPP Working Paper 2024-01, TEPP.
  67. Wang, Wenjie & Zhang, Yichong, 2024. "Wild bootstrap inference for instrumental variables regressions with weak and few clusters," Journal of Econometrics, Elsevier, vol. 241(1).
  68. Ulrich K. Müller, 2020. "A More Robust t-Test," Working Papers 2020-32, Princeton University. Economics Department..
  69. Heisig, Jan Paul & Schaeffer, Merlin & Giesecke, Johannes, 2017. "The Costs of Simplicity: Why Multilevel Models May Benefit from Accounting for Cross-Cluster Differences in the Effects of Controls," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 82(4), pages 796-827.
  70. 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.
  71. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2021. "Wild Bootstrap and Asymptotic Inference With Multiway Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 505-519, March.
  72. Frank Nagle, 2019. "Open Source Software and Firm Productivity," Management Science, INFORMS, vol. 65(3), pages 1191-1215, March.
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  74. Raff, Konrad & Siming, Linus, 2019. "Knighthoods, damehoods, and CEO behaviour," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 302-319.
  75. Martínez Flores, Fernanda & Milusheva, Sveta & Reichert, Arndt R. & Reitmann, Ann-Kristin, 2024. "Climate anomalies and international migration: A disaggregated analysis for West Africa," Journal of Environmental Economics and Management, Elsevier, vol. 126(C).
  76. James G. MacKinnon & Matthew D. Webb, 2017. "Pitfalls When Estimating Treatment Effects Using Clustered Data," Working Paper 1387, Economics Department, Queen's University.
  77. 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.
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  83. James G. MacKinnon & Matthew D. Webb, 2017. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 233-254, March.
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  95. Tripathy, Jagdish, 2020. "Cross-border effects of regulatory spillovers: Evidence from Mexico," Journal of International Economics, Elsevier, vol. 126(C).
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