Asymptotic theory for clustered samples
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Publication:2000827
DOI10.1016/J.JECONOM.2019.02.001zbMATH Open1452.62915arXiv1902.01497OpenAlexW2800471254MaRDI QIDQ2000827FDOQ2000827
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
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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)
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Cited In (22)
- 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
- 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
- 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
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- 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
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