Difference in difference meets generalized least squares: higher order properties of hypotheses tests

DOI10.1016/J.JECONOM.2008.04.003MaRDI QIDQ295397zbMATH OpenOpenAlexFDO

Authors Guido Kuersteiner, Jerry Hausman

Publication date 13 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.04.003

zbMATH Keywords

panel dataEdgeworth expansiontreatment effectGLSsize corrected tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 1076783 (Why is no real title available?)
• Approximate Normality of Generalized Least Squares Estimates
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Biases in Dynamic Models with Fixed Effects
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
• How Much Should We Trust Differences-In-Differences Estimates?
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• On the Pooling of Time Series and Cross Section Data
• Random group effects and the precision of regression estimates
• Specification Tests in Econometrics
• The commutation matrix: Some properties and applications

Cited in

(6)

• Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
• Inference with difference-in-differences revisited
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends
• Heteroskedasticity-robust inference in finite samples

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