Some impossibility results for inference with cluster dependence with large clusters

DOI10.1016/J.JECONOM.2023.105524MaRDI QIDQ6090604zbMATH OpenOpenAlexFDO

Authors Denis Kojevnikov, Kyungchul Song

Publication date 17 November 2023

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

Full work available at URL https://arxiv.org/abs/2109.03971

zbMATH Keywords

local dependencecluster dependenceconsistent discriminationconsistent estimation of long-run variancelog likelihood processunknown dependence structure

Mathematics Subject Classification ID

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

Abstract: This paper focuses on a setting with observations having a cluster dependence structure and presents two main impossibility results. First, we show that when there is only one large cluster, i.e., the researcher does not have any knowledge on the dependence structure of the observations, it is not possible to consistently discriminate the mean. When within-cluster observations satisfy the uniform central limit theorem, we also show that a sufficient condition for consistent $sqrtn$-discrimination of the mean is that we have at least two large clusters. This result shows some limitations for inference when we lack information on the dependence structure of observations. Our second result provides a necessary and sufficient condition for the cluster structure that the long run variance is consistently estimable. Our result implies that when there is at least one large cluster, the long run variance is not consistently estimable.

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Cited in

(1)

• On a clustering criterion for dependent observations

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