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Robust Standard Errors in Small Samples : Some Practical Advice

Imbens, Guido W. - 2012

In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...

Persistent link: https://www.econbiz.de/10013099125

Measuring Total Household Spending in a Monthly Internet Survey : Evidence from the American Life Panel

Hurd, Michael D. - 2012

Beginning in May 2009 we fielded a monthly Internet survey designed to measure total household spending as the aggregate of about 40 spending components. This paper reports on a number of outcomes from 30 waves of data collection. These outcomes include sample attrition, indicators of data...

Persistent link: https://www.econbiz.de/10013108000

What are We Weighting for?

Solon, Gary - 2013

, (2) to achieve consistent estimates by correcting for endogenous sampling, and (3) to identify average partial effects in …

Persistent link: https://www.econbiz.de/10013085910

To Hold Out or Not to Hold Out

Schorfheide, Frank - 2013

A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation...

Persistent link: https://www.econbiz.de/10013073955

Using Split Samples to Improve Inference About Causal Effects

Fafchamps, Marcel - 2016

We discuss a method aimed at reducing the risk that spurious results are published. Researchers send their datasets to an independent third party who randomly generates training and testing samples. Researchers perform their analysis on the former and once the paper is accepted for publication...

Persistent link: https://www.econbiz.de/10013001788

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Ait-Sahalia, Yacine - 2005

optimal sampling frequency at which to estimate the parameters of a discretely sampled continuous-time model can be finite … that sampling as often as possible is optimal. But, more surprisingly, we also demonstrate that this is true even if one …

Persistent link: https://www.econbiz.de/10012785227

Information Costs and Sequential Information Sampling

Hebert, Benjamin - 2018

We propose a new approach to modeling the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions. These cost functions have two properties that we view as desirable: they summarize the results of a sequential evidence accumulation problem, and...

Persistent link: https://www.econbiz.de/10012907127

Non-Randomly Sampled Networks : Biases and Corrections

Hsieh, Chih-Sheng - 2018

first characterize the biases in both network statistics and estimates of network effects under non-random sampling …-classical measurement-error problems when applied as regressors. Apart from the sampling rate and the elicitation procedure, these biases … applied to network data collected via both designed and non-designed sampling procedures, does not require one to assume any …

Persistent link: https://www.econbiz.de/10012907751

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample : More Data, Additional Currencies, and FX Implications

Hodrick, Robert J. - 2018

We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's...

Persistent link: https://www.econbiz.de/10012910309

Is Gaining Access to Selective Elementary Schools Gaining Ground? Evidence from Randomized Lotteries

Cullen, Julie Berry - 2010

In this paper, we examine whether expanded access to sought-after schools can improve academic achievement. The setting we study is the quot;open enrollmentquot; system in the Chicago Public Schools (CPS). We use lottery data to avoid the critical issue of non-random selection of students into...

Persistent link: https://www.econbiz.de/10012759793