Testing for the appropriate level of clustering in linear regression models

DOI10.1016/j.jeconom.2023.03.005arXiv2301.04522OpenAlexW3016532689MaRDI QIDQ6108339

Morten Ørregaard Nielsen, Matthew D. Webb, James G. MacKinnon

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.04522

zbMATH Keywords

grouped dataclustered datawild bootstraprobust inferencewild cluster bootstrapCRVEcluster-robust variance estimator

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• The wild bootstrap, tamed at last
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Inference with dependent data using cluster covariance estimators
• Random group effects and the precision of regression estimates
• Bootstrap procedures under some non-i.i.d. models
• Pythagorean generalization of testing the equality of two symmetric positive definite matrices
• Jackknife, bootstrap and other resampling methods in regression analysis
• Asymptotic theory for clustered samples
• Empirical process results for exchangeable arrays
• Asymptotic theory and wild bootstrap inference with clustered errors
• Cluster-robust inference: a guide to empirical practice
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• Testing Hypotheses Concerning Unions of Linear Subspaces
• Simulation-Based Tests that Can Use Any Number of Simulations
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• A New Form of the Information Matrix Test
• Specification Tests in Econometrics
• How Much Should We Trust Differences-In-Differences Estimates?
• Bootstrap tests: how many bootstraps?
• The wild bootstrap for few (treated) clusters
• Robust Inference With Multiway Clustering
• Martingale Central Limit Theorems
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• When Should You Adjust Standard Errors for Clustering?
• Maximum Likelihood Estimation of Misspecified Models
• Bootstrap With Cluster‐Dependence in Two or More Dimensions

This page was built for publication: Testing for the appropriate level of clustering in linear regression models