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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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