Microeconometrics researchers have increasingly realized the essential need to account for any within-group dependence in estimating standard errors of regression parameter estimates. The typical preferred solution is to calculate cluster-robust or sandwich standard errors that permit quite...

Event studies have become increasingly important in securities fraud litigation after the Supreme Court's decision in Halliburton II. Litigants have used event study methodology, which empirically analyzes the relationship between the disclosure of corporate information and the issuer's stock...

In this article we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit, and GMM. This variance estimator enables cluster-robust inference when there is two-way or multiway clustering that is nonnested. The variance estimator extends the...

Single-firm event studies play an important role in both scholarship and litigation despite the general invalidity of standard inference. We use a broad cross-section of 2000--2007 CRSP data and find that the standard approach performs poorly in terms of both Type I and Type II error rates. We...

Proposals aimed at improving the welfare of the poor often include indicator targeting, in which non-income characteristics (such as race, gender, or land ownership) that are correlated with income are used to target limited funds to groups likely to include a cincentration of the poor. Previous...

Researchers have increasingly realized the need to account for within-group dependence in estimating standard errors of regression parameter estimates. The usual solution is to calculate cluster-robust standard errors that permit heteroskedasticity and within-cluster error correlation, but...