Simple and trustworthy cluster-robust GMM inference

DOI10.1016/j.jeconom.2020.07.048zbMath1471.62531OpenAlexW3122546488MaRDI QIDQ2024463

Jungbin Hwang

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://media.economics.uconn.edu/working/2017-19.pdf

zbMATH Keywords

\(t\) distribution\(F\) distributionheteroskedasticity and autocorrelation robusttwo-step GMMclustered dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

Cluster-robust inference: a guide to empirical practice ⋮ Finite-sample corrected inference for two-step GMM in time series ⋮ A doubly corrected robust variance estimator for linear GMM

Uses Software

• xtabond2

Cites Work

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