Inference with few heterogeneous clusters

Rustam Ibragimov, Ulrich K. Müller

Research output: Contribution to journalArticle

26 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)83-96
Number of pages14
JournalReview of Economics and Statistics
Volume98
Issue number1
DOIs
StatePublished - Mar 1 2016

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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