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  • Search: subject:"robust variance"
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Year of publication
Subject
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Estimation theory 30 Schätztheorie 30 cluster-robust variance estimator 27 CRVE 26 clustered data 24 Cluster analysis 22 Clusteranalyse 22 wild cluster bootstrap 22 Regional cluster 21 Regionales Cluster 21 Bootstrap approach 19 Bootstrap-Verfahren 19 grouped data 18 robust inference 18 Induktive Statistik 15 Statistical inference 15 Clustered data 10 wild bootstrap 8 Regression analysis 6 Regressionsanalyse 6 inference 6 Heteroscedasticity 5 Heteroskedastizität 5 Robust statistics 5 Robustes Verfahren 5 Statistical test 5 Statistischer Test 5 cluster jackknife 5 cluster sizes 5 Cluster-robust variance estimator 4 Edgeworth expansion 4 Robust inference 4 Wild cluster bootstrap 4 jackknife 4 Autocorrelation 3 Autokorrelation 3 Correlation 3 Grouped data 3 Heteroskedasticity and autocorrelation robust variance 3 Korrelation 3
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Online availability
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Free 38 Undetermined 14 CC license 1
Type of publication
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Book / Working Paper 32 Article 20 Other 1
Type of publication (narrower categories)
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Working Paper 30 Graue Literatur 18 Non-commercial literature 18 Arbeitspapier 17 Article in journal 16 Aufsatz in Zeitschrift 16 Thesis 1
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Language
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English 51 Undetermined 2
Author
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MacKinnon, James G. 33 Nielsen, Morten Ørregaard 27 Webb, Matthew 22 Djogbenou, Antoine A. 4 Sun, Yixiao 4 Crump, Richard K. 2 Djogbenou, Antoine 2 Gospodinov, Nikolaj 2 Hardin, James W. 2 Kim, Min Seong 2 Kline, Patrick 2 Lopez Gaffney, Ignacio 2 Martínez-Iriarte, Julián 2 Wang, Xuexin 2 Webb, Matthew D. 2 Yang, Jingjing 2 Aronow, Peter M. 1 Cai, Jianwen 1 Carroll, Raymond J. 1 Kapetanios, George 1 Monteforte, Fabio 1 Niccodemi, Gianmaria 1 Nielsen, Morten Ørregard 1 Samii, Cyrus 1 Schaubel, Douglas E. 1 Serlenga, Laura 1 Shin, Yongcheol 1 Stein, Anke 1 Tabord-Meehan, Max 1 Temple, Jonathan 1 Waheed, Hassam 1 Wang, Yudong 1 Wansbeek, Tom 1 Wooldridge, Jeffrey M. 1 Zhang, Yaojie 1 Zhang, Zhikai 1
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Institution
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University of California, San Diego / Department of Economics 1
Published in...
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Queen's Economics Department working paper 12 Queen’s Economics Department Working Paper 9 Journal of econometrics 5 CREATES research paper 3 Queen's Economics Department Working Paper 3 Economics letters 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Stata Journal 2 Econometrics : open access journal 1 Economics Letters 1 Economics of governance 1 Journal of applied econometrics 1 Journal of behavioral and experimental economics 1 Recent work / Department of Economics, UC San Diego 1 Staff Reports 1 Staff reports / Federal Reserve Bank of New York 1 Statistics & Probability Letters 1 The econometrics journal 1 Working papers / Ryerson University, Department of Economics 1
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Source
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ECONIS (ZBW) 34 EconStor 13 RePEc 4 BASE 2
Showing 11 - 20 of 53
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A new estimator for standard errors with few unbalanced clusters
Niccodemi, Gianmaria; Wansbeek, Tom - In: Econometrics : open access journal 10 (2022) 1, pp. 1-7
lead to a severe downward bias in the standard errors. This idea of a cluster-robust variance estimator (CRVE) generalizes …
Persistent link: https://www.econbiz.de/10012805054
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Fast and reliable jackknife and bootstrap methods for cluster-robust inference
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
We provide new and computationally attractive methods, based on jackknifing by cluster, to obtain cluster-robust … variance matrix estimators (CRVEs) for linear regres- sion models estimated by least squares. These estimators have previously …
Persistent link: https://www.econbiz.de/10013172440
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Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2022
Persistent link: https://www.econbiz.de/10013189456
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Leverage, influence, and the jackknife in clustered regression models : reliable inference using summclust
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...
Persistent link: https://www.econbiz.de/10013169182
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Forecasting the equity premium using weighted regressions : Does the jump variation help?
Zhang, Zhikai; Zhang, Yaojie; Wang, Yudong - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2049-2082
Persistent link: https://www.econbiz.de/10014520108
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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/10012670892
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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 ordinary least squares (OLS) regression, a new algorithm is provided for the pairs cluster bootstrap, along with two algorithms for the wild cluster bootstrap. One of these is a...
Persistent link: https://www.econbiz.de/10012670900
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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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Cover Image
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
Saved in:
Cover Image
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - In: Journal of econometrics 232 (2023) 2, pp. 272-299
Persistent link: https://www.econbiz.de/10014339912
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