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

DOI10.1016/J.JECONOM.2019.02.003MaRDI QIDQ2000831zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
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• How Much Should We Trust Differences-In-Differences Estimates?
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
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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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