差中差回归的标准误差

IF 2.3 3区 经济学 Q2 ECONOMICS
Bruce E. Hansen
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引用次数: 0

摘要

本文对标准误差、p $$ p $$值和差中差(DiD)回归的置信区间构造使用叠刀方法进行了论证。我们回顾了聚类鲁棒方法、自举方法和折刀标准误差方法,并表明标准方法在传统环境下的表现明显不佳。相比之下,我们提出的折刀推理方法在广泛的背景下工作得很好。我们通过复制几个有影响力的DiD应用程序来说明相关性,并展示如果使用折刀标准误差和推理方法,推理结果如何变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Standard Errors for Difference-in-Difference Regression

This paper makes a case for the use of jackknife methods for standard error, p $$ p $$ value, and confidence interval construction for difference-in-difference (DiD) regression. We review cluster-robust, bootstrap, and jackknife standard error methods and show that standard methods can substantially underperform in conventional settings. In contrast, our proposed jackknife inference methods work well in broad contexts. We illustrate the relevance by replicating several influential DiD applications and showing how inferential results can change if jackknife standard error and inference methods are used.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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