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Pitfalls when estimating treatment effects using clustered data
MacKinnon, James G.; Webb, Matthew - 2017
Inference for estimates of treatment effects with clustered data requires great care when treatment is assigned at the group level. This is true for both pure treatment models and difference-in-differences regressions. Even when the number of clusters is quite large, cluster-robust standard...
Persistent link: https://www.econbiz.de/10011722291
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Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods
Blake, David P. - 2016
benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non …-normality of individual mutual fund returns is accounted for by using panel bootstrap methods. We also augment the standard …
Persistent link: https://www.econbiz.de/10012996413
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Testing for the appropriate level of clustering in linear regression models
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2020
Reliable inference with clustered data has received a great deal of attention in recent years. The overwhelming majority of this research assumes that the cluster structure is known. This assumption is very strong, because there are often several possible ways in which a dataset could be...
Persistent link: https://www.econbiz.de/10012201366
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Fast cluster bootstrap methods for linear regression models
MacKinnon, James G. - 2021
Efficient computational algorithms for bootstrapping linear regression models with clustered data are discussed. For OLS regression, a new algorithm is provided for the pairs cluster bootstrap, and two algorithms for the wild cluster bootstrap are compared. One of these is a new way to express...
Persistent link: https://www.econbiz.de/10012662210
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Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2021
Methods for cluster-robust inference are routinely used in economics and many other disciplines. However, it is only recently that theoretical foundations for the use of these methods in many empirically relevant situations have been developed. In this paper, we use these theoretical results to...
Persistent link: https://www.econbiz.de/10012494221
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For which countries did PPP hold? : a multiple testing approach
Hanck, Christoph (contributor) - 2006
We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...
Persistent link: https://www.econbiz.de/10003394646
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Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence
Hadri, Kaddour; Rao, Yao - 2010
This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 … break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break …
Persistent link: https://www.econbiz.de/10014201245
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A Simple Bootstrap Method for Panel Data Inferences
Gao, Jiti; Peng, Bin; Yan, Yayi - 2022
class of panel data models including those with interactive fixed effects. The proposed method allows for the error … approaches for panel data models. The new findings fill some gaps left by the bulk literature of the block bootstrap based panel …
Persistent link: https://www.econbiz.de/10013290159
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors … demonstrate its effectiveness using an innovative experimental approach that creates artificial panel datasets modelled after …
Persistent link: https://www.econbiz.de/10012018487
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020
has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors … demonstrate its effectiveness using an experimental approach that creates artificial panel datasets modelled after actual panel …
Persistent link: https://www.econbiz.de/10012160012