A simple and trustworthy asymptotic t test in difference-in-differences regressions

DOI10.1016/J.JECONOM.2019.02.003zbMATH Open1452.62659OpenAlexW2920027818MaRDI QIDQ2000831FDOQ2000831

Authors: Cheng Liu, Yixiao Sun 

Publication date: 1 July 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.02.003

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zbMATH Keywords

difference-in-differencesbasis functionsfixed-smoothing asymptotics\(t\) testStudent's \(t\) distributionheteroscedasticity and autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (4)

• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Inference with difference-in-differences revisited
• Asymptotic F tests under possibly weak identification
• An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

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