Difference in difference meets generalized least squares: higher order properties of hypotheses tests

DOI10.1016/j.jeconom.2008.04.003zbMath1418.62464OpenAlexW1981980159MaRDI QIDQ295397

Guido M. Kuersteiner, Jerry A. Hausman

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.003

zbMATH Keywords

panel dataEdgeworth expansiontreatment effectGLSsize corrected tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (4)

Heteroskedasticity-robust inference in finite samples ⋮ Macroeconomic effects on mortality revealed by panel analysis with nonlinear trends ⋮ Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA

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• Biases in Dynamic Models with Fixed Effects
• Specification Tests in Econometrics
• On the Pooling of Time Series and Cross Section Data
• How Much Should We Trust Differences-In-Differences Estimates?
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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