Inference with few heterogeneous clusters

• Autores: Rustam Ibragimov, Ulrich K. Müller
• Localización: The Review of economics and statistics, ISSN 0034-6535, Vol. 98, Nº 1, 2016, págs. 83-96
• Idioma: inglés
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• Resumen

  • Suppose estimating a model on each of a small number of potentially heterogeneous clusters yields approximately independent, unbiased, and Gaussian parameter estimators. We make two contributions in this setup. First, we showhowto compare a scalar parameter of interest between treatment and control units using a two-sample t-statistic, extending previous results for the one-sample t-statistic. Second, we develop a test for the appropriate level of clustering; it tests the null hypothesis that clustered standard errors from a much finer partition are correct. We illustrate the approach by revisiting empirical studies involving clustered, time series, and spatially correlated data.