Kaicheng Chen, Timothy J. Vogelsang
arXiv 15 Sep 2023 · Econometrics · publishedJournal of Econometrics (2024) · 2 citations (OpenAlex)
arXiv:2309.08707 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a cluster robust variance estimator proposed by Chiang, Hansen and Sasaki (2024) for linear panels. First, we show algebraically that this variance estimator (CHS estimator, hereafter) is a linear combination of three common variance estimators: the one-way unit cluster estimator, the "HAC of averages" estimator, and the "average of HACs" estimator. Based on this finding, we obtain a fixed-$b$ asymptotic result for the CHS estimator and corresponding test statistics as the cross-section and time sample sizes jointly go to infinity. Furthermore, we propose two simple bias-corrected versions of the variance estimator and derive the fixed-$b$ limits. In a simulation study, we find that the two bias-corrected variance estimators along with fixed-$b$ critical values provide improvements in finite sample coverage probabilities. We illustrate the impact of bias-correction and use of the fixed-$b$ critical values on inference in an empirical example on the relationship between industry profitability and market concentration.
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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 | Kiefer, N.M., Vogelsang, T.J (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests self | 1.000 | 9 | 4 | 100% |
| 2 | Thompson, S.B (2011) Simple formulas for standard errors that cluster by both firm and time | 1.000 | 6 | 3 | 100% |
| 3 | Chiang, H.D., Hansen, B.E., Sasaki, Y (2024) Standard errors for two-way clustering with serially correlated time effects | 0.968 | 32 | 6 | 91% |
| 4 | Vogelsang, T.J (2012) Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects self | 0.928 | 4 | 3 | 100% |
| 5 | MacKinnon, J.G., Nielsen, M.., Webb, M.D (2021) Wild bootstrap and asymptotic inference with multiway clustering | 0.874 | 7 | 2 | 100% |
| 6 | Andrews, D.W.K (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.737 | 3 | 2 | 100% |
| 7 | Cameron, A.C., Gelbach, J.B., Miller, D.L (2011) Robust inference with multiway clustering | 0.737 | 3 | 2 | 100% |
| 8 | Arellano, M (1987) Computing robust standard errors for within-groups estimators | 0.644 | 2 | 2 | 100% |
| 9 | Driscoll, J.C., Kraay, A.C (1998) Consistent covariance matrix estimation with spatially dependent panel data | 0.644 | 2 | 2 | 100% |
| 10 | Liang, K.Y., Zeger, S.L (1986) Longitudinal data analysis using generalized linear models | 0.644 | 2 | 2 | 100% |
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