Showing 1 - 10 of 93
bootstrap tests, is likely to be most useful when simulation is expensive. …
Persistent link: https://www.econbiz.de/10011940649
bootstrap tests, is likely to be most useful when simulation is expensive. …
Persistent link: https://www.econbiz.de/10005688306
conduct asymptotic inference, it is therefore necessary to resort to simulation. Techniques that have commonly been used yield … Kiefer, Vogelsang, and Bunzel (2000) for testing linear restrictions in linear regression models. A program to compute P …
Persistent link: https://www.econbiz.de/10005787648
We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster … example. We also discuss a new Stata software package called logitjack which implements these procedures. Simulation results …
Persistent link: https://www.econbiz.de/10015051838
Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a … these circumstances. We study asymptotic tests for overidentification in models estimated by instrumental variables and by … correlation between the disturbances of the two equations of the model. Simulation experiments demonstrate that this makes it …
Persistent link: https://www.econbiz.de/10010368288
The cluster robust variance estimator (CRVE) relies on the number of clusters being large. The precise meaning of 'large' is ambiguous, but a shorthand 'rule of 42' has emerged in the literature. We show that this rule depends crucially on the assumption of equal-sized clusters. Monte Carlo...
Persistent link: https://www.econbiz.de/10010368290
Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster...
Persistent link: https://www.econbiz.de/10011380809
We study asymptotic inference based on cluster-robust variance estimators for regression models with clustered errors … be generated under sequences of local alternatives. Simulation experiments illustrate the theoretical results and show …
Persistent link: https://www.econbiz.de/10011939434
We study a cluster-robust variance estimator (CRVE) for regression models with clustering in two dimensions that was …
Persistent link: https://www.econbiz.de/10011939437
group level. This is true for both pure treatment models and difference-in-differences regressions. Even when the number of …
Persistent link: https://www.econbiz.de/10011939438