Robust Standard Errors in Small Samples: Some Practical Advice
Author(s): Imbens, Guido W; Kolesar, Michal
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Abstract: | We study the properties of heteroskedasticity-robust confidence intervals for regression parameters. We show that confidence intervals based on a degrees-of-freedom correction suggested by Bell and McCaffrey (2002) are a natural extension of a principled approach to the Behrens-Fisher problem. We suggest a further improvement for the case with clustering. We show that these standard errors can lead to substantial improvements in coverage rates even for samples with fifty or more clusters.We recommend that researchers routinely calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors. |
Publication Date: | Oct-2016 |
Citation: | Imbens, Guido W, Kolesár, Michal. (2016). Robust Standard Errors in Small Samples: Some Practical Advice. Review of Economics and Statistics, 98 (4), 701 - 712. doi:10.1162/REST_a_00552 |
DOI: | doi:10.1162/REST_a_00552 |
ISSN: | 0034-6535 |
EISSN: | 1530-9142 |
Pages: | 701 - 712 |
Type of Material: | Journal Article |
Journal/Proceeding Title: | Review of Economics and Statistics |
Version: | Final published version. Article is made available in OAR by the publisher's permission or policy. |
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