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)

Recommendations

• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• Tests of Disorder of Regression: Asymptotic Comparison
• On the asymptotic \(t\)-test for large nonstationary panel models
• A comparison of asymptotically equivalent test statistics for regression transformation
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Tests based on t-statistics for IV regression with weak instruments
• An elementary nonparametric differencing test of equality of regression functions
• Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
• SECOND-ORDER ASYMPTOTICS FOR SCORE TESTS IN HETEROSKEDASTICtREGRESSION MODELS

Cites work

• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A heteroskedasticity and autocorrelation robust \(F\) test using an orthonormal series variance estimator
• A martingale decomposition for quadratic forms of Markov chains (with applications)
• A theory of robust long-run variance estimation
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
• Fixed-smoothing asymptotics in a two-step generalized method of moments framework
• HAC ESTIMATION BY AUTOMATED REGRESSION
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• 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
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Simple and powerful GMM over-identification tests with accurate size

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

This page was built for publication: A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000831)