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  • Search: subject:"variance estimator"
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Year of publication
Subject
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Schätztheorie 32 Estimation theory 31 cluster-robust variance estimator 27 CRVE 26 clustered data 24 Cluster analysis 23 Clusteranalyse 23 Regional cluster 22 Regionales Cluster 22 wild cluster bootstrap 22 Bootstrap approach 20 Bootstrap-Verfahren 20 grouped data 18 robust inference 18 Induktive Statistik 14 Statistical inference 14 Clustered data 10 Long run variance estimator 9 Market frictions 8 Quadratic variation 8 Realised variance 8 wild bootstrap 8 Regression analysis 7 Regressionsanalyse 7 HAC estimator 6 inference 6 Edgeworth expansion 5 cluster jackknife 5 cluster sizes 5 nonparametric regression 5 variance estimator 5 Cluster-robust variance estimator 4 Estimation 4 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Nichtparametrisches Verfahren 4 Robust inference 4 Schätzung 4 Time series analysis 4 Wild cluster bootstrap 4
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Online availability
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Free 56 Undetermined 22 CC license 2
Type of publication
All
Book / Working Paper 54 Article 28
Type of publication (narrower categories)
All
Working Paper 35 Arbeitspapier 19 Graue Literatur 19 Non-commercial literature 19 Article in journal 13 Aufsatz in Zeitschrift 13 Article 1 Aufsatz im Buch 1 Book section 1
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Language
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English 61 Undetermined 21
Author
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MacKinnon, James G. 33 Nielsen, Morten Ørregaard 27 Webb, Matthew 22 Barndorff-Nielsen, Ole E. 11 Shephard, Neil 11 Hansen, Peter Reinhard 8 Lunde, Asger 8 Djogbenou, Antoine A. 4 Addison, John T. 2 Bailey, Ralph W. 2 Cattaneo, Matias D. 2 Crump, Richard K. 2 Djogbenou, Antoine 2 Frahm, Gabriel 2 Hanif, Muhammad 2 Härdle, Wolfgang 2 Padilla, Alberto 2 Sun, Yixiao 2 Wang, Weining 2 Webb, Matthew D. 2 Yasmeen, Uzma 2 Čížek, Pavel 2 Addison, John T 1 Adhikary, Arun 1 Adhya, Sumanta 1 Alexopoulos, Christos 1 Bailey, Ralph W 1 Banerjee, Tathagata 1 Berger, Yves 1 Chattopadhyay, Gaurangadeb 1 Chaudhuri, Arijit 1 Chen, Xiaohong 1 Fattorini, Lorenzo 1 Franceschi, Sara 1 Goldsman, David 1 Gottlieb, Alex 1 Graf, Monique 1 Hansen, Peter R. 1 Hardin, James W. 1 Kokonendji, Célestin 1
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Institution
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Department of Economics, Oxford University 3 Economics Group, Nuffield College, University of Oxford 2 Finance Research Centre, Oxford University 2 HAL 2 Banco de México 1 Cowles Foundation for Research in Economics, Yale University 1 Department of Economics, University of Birmingham 1 Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 1 Institute of Economic Research, Hitotsubashi University 1 School of Economics and Management, University of Aarhus 1 School of Economics, UNSW Business School 1 Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
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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 Economics Series Working Papers / Department of Economics, Oxford University 3 Queen's Economics Department Working Paper 3 Annals of the Institute of Statistical Mathematics 2 Economics Papers / Economics Group, Nuffield College, University of Oxford 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Metrika 2 OFRC Working Papers Series 2 Post-Print / HAL 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CREATES Research Papers 1 Computational Statistics 1 Cowles Foundation Discussion Papers 1 Department of Economics University of Siena 1 Discussion Papers / Department of Economics, University of Birmingham 1 Discussion Papers / School of Economics, UNSW Business School 1 Discussion Papers in Econometrics and Statistics 1 Discussion Papers in Statistics and Econometrics 1 Discussion paper / LSE Financial Markets Group 1 Discussion papers / Department of Economics, The University of Birmingham 1 Econometrics : open access journal 1 Essays in honor of Joon Y. Park : econometric theory 1 European Journal of Operational Research 1 GEMF Working Papers 1 Global COE Hi-Stat Discussion Paper Series 1 International journal of applied management science : IJAMS 1 Journal of Applied Statistics 1 Journal of Classification 1 Journal of applied econometrics 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 Stata Journal 1 Statistical Papers / Springer 1 Statistics & Probability Letters 1 Statistics in Transition new series (SiTns) 1 Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland 1
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Source
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ECONIS (ZBW) 33 RePEc 32 EconStor 17
Showing 1 - 10 of 82
Cover Image
Cluster-robust jackknife and bootstrap inference for binary response models
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2024
We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the simplest of these, but also the most computationally demanding, involves...
Persistent link: https://www.econbiz.de/10015051838
Saved in:
Cover Image
Jackknife inference with two-way clustering
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2024
simple software package, twowayjack for Stata, that implements our recommended variance estimator. …
Persistent link: https://www.econbiz.de/10015051864
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
depends critically on the object of interest and discuss shortcomings of the widely-used Fama-MacBeth variance estimator. To … address these limitations, we propose a new variance estimator. In an empirical application, we introduce a novel risk factor …
Persistent link: https://www.econbiz.de/10015124982
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
depends critically on the object of interest and discuss shortcomings of the widely-used Fama-MacBeth variance estimator. To … address these limitations, we propose a new variance estimator. In an empirical application, we introduce a novel risk factor …
Persistent link: https://www.econbiz.de/10015123509
Saved in:
Cover Image
Cluster-robust jackknife and bootstrap inference for binary response models
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2024
We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the simplest of these, but also the most computationally demanding, involves...
Persistent link: https://www.econbiz.de/10015048740
Saved in:
Cover Image
Jackknife inference with two-way clustering
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2024
simple software package, twowayjack for Stata, that implements our recommended variance estimator. …
Persistent link: https://www.econbiz.de/10015048741
Saved in:
Cover Image
Fast and reliable jackknife and bootstrap methods for cluster-robust inference
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - In: Journal of applied econometrics 38 (2023) 5, pp. 671-694
Persistent link: https://www.econbiz.de/10014338128
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Cover Image
Variance estimation in stratified adaptive cluster sampling
Yasmeen, Uzma; Noor-ul-Amin, Muhammad; Hanif, Muhammad - In: Statistics in Transition new series (SiTns) 23 (2022) 1, pp. 173-184
In many sampling surveys, the use of auxiliary information at either the design or estimation stage, or at both these stages is usual practice. Auxiliary information is commonly used to obtain improved designs and to achieve a high level of precision in the estimation of population density....
Persistent link: https://www.econbiz.de/10013444126
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Cover Image
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 been com- putationally infeasible except for small...
Persistent link: https://www.econbiz.de/10014451087
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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/10013254705
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