What is a standard error? (And how should we compute it?)

DOI10.1016/J.JECONOM.2023.105517OpenAlexW4387116556MaRDI QIDQ6090601FDOQ6090601

Authors: Jeffrey M. Wooldridge 

Publication date: 17 November 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.105517

zbMATH Keywords

clusteringdesign-based approachmodel-based approachstandard errorsampling-based approach

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• GMM estimation with cross sectional dependence
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• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Econometric analysis of cross section and panel data.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Sampling
• Sampling-based versus design-based uncertainty in regression analysis
• Cluster-robust inference: a guide to empirical practice
• Asymptotic theory for clustered samples
• Potential outcomes and finite-population inference for M-estimators
• When Should You Adjust Standard Errors for Clustering?

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