Asymptotic theory for clustered samples
From MaRDI portal
Publication:2000827
DOI10.1016/J.JECONOM.2019.02.001zbMATH Open1452.62915arXiv1902.01497OpenAlexW2800471254MaRDI QIDQ2000827FDOQ2000827
Authors: Bruce E. Hansen, Seojeong Lee 
Publication date: 1 July 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: We provide a complete asymptotic distribution theory for clustered data with a large number of independent groups, generalizing the classic laws of large numbers, uniform laws, central limit theory, and clustered covariance matrix estimation. Our theory allows for clustered observations with heterogeneous and unbounded cluster sizes. Our conditions cleanly nest the classical results for i.n.i.d. observations, in the sense that our conditions specialize to the classical conditions under independent sampling. We use this theory to develop a full asymptotic distribution theory for estimation based on linear least-squares, 2SLS, nonlinear MLE, and nonlinear GMM.
Full work available at URL: https://arxiv.org/abs/1902.01497
Recommendations
- Simple and trustworthy cluster-robust GMM inference
- Asymptotic theory and wild bootstrap inference with clustered errors
- Robust inferences from random clustered samples: an application using data from the panel study of income dynamics.
- Asymptotic inference from multi-stage samples
- Increasing cluster size asymptotics for nested error regression models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)
Cites Work
- Mostly harmless econometrics. An empiricist's companion.
- Longitudinal data analysis using generalized linear models
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
- Econometric analysis of cross section and panel data.
- How Much Should We Trust Differences-In-Differences Estimates?
- Convergence of weighted averages of random variables revisited
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- Random group effects and the precision of regression estimates
- Inference with dependent data using cluster covariance estimators
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- Randomization tests under an approximate symmetry assumption
- The wild bootstrap for few (treated) clusters
Cited In (24)
- Bayesian estimation of cluster covariance matrices of unknown form
- Wild bootstrap inference for instrumental variables regressions with weak and few clusters
- A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
- Wild Bootstrap and Asymptotic Inference With Multiway Clustering
- Inference in time series models using smoothed-clustered standard errors
- Asymptotic inference from multi-stage samples
- Some impossibility results for inference with cluster dependence with large clusters
- A robust permutation test for subvector inference in linear regressions
- Simple and trustworthy cluster-robust GMM inference
- Some new asymptotic results for series estimation under clustered dependence
- Generalized two‐sample U‐statistics for clustered data
- Large sample theory for merged data from multiple sources
- Cluster-robust inference: a guide to empirical practice
- Asymptotic theory and wild bootstrap inference with clustered errors
- Approximate balancing weights for clustered observational study designs
- Prediction intervals for economic fixed-event forecasts
- Testing for the appropriate level of clustering in linear regression models
- Estimating average treatment effects for clustered RCTs with recruitment bias
- What is a standard error? (And how should we compute it?)
- A more credible approach to parallel trends
- Inference in cluster randomized trials with matched pairs
- Network cluster-robust inference
- The macro impact of short-termism
- Identification and estimation of spillover effects in randomized experiments
Uses Software
This page was built for publication: Asymptotic theory for clustered samples
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000827)
