Tom Boot, Gianmaria Niccodemi, Tom Wansbeek
arXiv 20 Jun 2022 · Econometrics · publishedEmpirical Economics (2023)
arXiv:2206.09644 · PDF · DOI · OpenAlex · Extracted main text
When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper we derive an estimator that is unbiased when the random-effects model holds. We do the same for two more general structures. We study the usefulness of these estimators against others by simulation, the size of the $t$-test being the criterion. Our findings suggest that the choice of estimator hardly matters when the regressor has the same distribution over the clusters. But when the regressor is a cluster-specific treatment variable, the choice does matter and the unbiased estimator we propose for the random-effects model shows excellent performance, even when the clusters are highly unbalanced.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Liang, K.-Y. and Zeger, S.L (1986) Longitudinal data analysis using generalized linear models | 0.511 | 2 | 1 | 100% |
| 2 | Bell, R.M. and McCaffrey, D.F (2002) Bias reduction in standard errors for linear regression with multi-stage samples | 0.405 | 1 | 1 | 100% |
| 3 | Breusch, T.S. and A.R. Pagan (1980) The Lagrange multiplier test and its applications to model specification in econometrics | 0.405 | 1 | 1 | 100% |
| 4 | Cameron, A.C. and Miller, D.L (2015) A practitioner`s guide to cluster-robust inference | 0.405 | 1 | 1 | 100% |
| 5 | Cameron, A.C. and P.K. Trivedi (2005) Microeconometrics | 0.405 | 1 | 1 | 100% |
| 6 | Donald, S.G. and Lang, K (2007) Inference with difference-in-differences and other panel data | 0.405 | 1 | 1 | 100% |
| 7 | Hansen, B.E. and Lee, S (2019) Asymptotic theory for clustered samples | 0.405 | 1 | 1 | 100% |
| 8 | Hartley, H. and Rao, J. and Kiefer, G (1969) Variance estimation with one unit per stratum | 0.405 | 1 | 1 | 100% |
| 9 | Ibragimov, R. and Müller, U.K (2016) Inference with few heterogeneous clusters | 0.405 | 1 | 1 | 100% |
| 10 | Kline, P. and Saggio, R. and Sølvsten, M (2020) Leave-out estimation of variance components | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 15 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference on LATEs with covariates | 0.405 | 1 | 1 |
| 2 | When Can We Trust Cluster-Robust Inference? | 0.405 | 1 | 1 |