Original paper
Inference about clustering and parametric assumptions in covariance matrix estimation
Volume: 56, Issue: 1, Pages: 1 - 14
Published: Jan 1, 2012
Abstract
Selecting an estimator for the covariance matrix of a regression’s parameter estimates is an important step in hypothesis testing. From less to more robust estimators, the choices available to researchers include Eicker/White heteroskedasticity-robust estimator, cluster-robust estimator, and multi-way cluster-robust estimator. The rationale for choosing a less robust covariance matrix estimator is that tests conducted using this estimator can...
Paper Details
Title
Inference about clustering and parametric assumptions in covariance matrix estimation
Published Date
Jan 1, 2012
Volume
56
Issue
1
Pages
1 - 14
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