This paper considers the problem of estimating the variance of a sum of a triangular array of random vectors with heterogeneous means. When random vectors exhibit two-way cluster dependence or weak dependence, standard variance estimators designed under homogeneous means can underestimate the true variance, which results in subsequent tests being oversized. To restore validity, this paper proposes a simple conservative variance estimator robust to heterogeneous means and shows its asymptotic validity.
Citation extraction
12
references
19
in-text mentions
12
distinct cited
2
self-citations
7,752
main-text words
appendix boundary found by appendix_command · 68% of the source is main text. Read the extracted text to check this.
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