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Unbiased estimation of the OLS covariance matrix when the errors are clustered

Tom Boot · Gianmaria Niccodemi · Tom Wansbeek首次提交 2022-06-20 · 修订 2022-06-20 · v1arXiv预印本

聚类误差下 OLS 协方差矩阵的无偏估计AI 解读

When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper we derive an estimator that is unbiased when the random-effects model holds. We do the same for two more general structures. We study the usefulness of these estimators against others by simulation, the size of the $t$ -test being the criterion. Our findings suggest that the choice of estimator hardly…When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper we derive an estimator that is unbiased when the random-effects model holds. We do the same for two more general structures. We study the usefulness of these estimators against others by simulation, the size of the $t$-test being the criterion. Our findings suggest that the choice of estimator hardly…

一般估计检验与推断

关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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