Robust standard errors in small samples: Some practical advice

Guido W. Imbens, Michal Kolesár

Research output: Contribution to journalArticle

64 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)701-712
Number of pages12
JournalReview of Economics and Statistics
Volume98
Issue number4
DOIs
StatePublished - Oct 1 2016

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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