Event

Standard errors for two-way clustering with serially correlated time effects by Harold Chiang

Join Harold Chiang for an online event, part of the Econometrics Research Seminar Series, Summer Term 2022

  • Wed 8 Jun 22

    16:00 - 17:30

  • Colchester Campus

    Zoom

  • Event speaker

    Harold Chiang

  • Event type

    Lectures, talks and seminars
    Econometrics Research Seminar Series

  • Event organiser

    Economics, Department of

Join Harold Chiang as they present their research on Standard errors for two-way clustering with serially correlated time effects

Standard errors for two-way clustering with serially correlated time effects by Harold Chiang

Join us for this weeks Econometrics Research Seminar, Summer Term 2022

Dr Harold Chiang from the Department of Economics, University of Wisconsin - Madison will present their research on Standard errors for two-way clustering with serially correlated time effects.

Abstract

We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing two-way methods, including the popular two-way cluster standard errors of Cameron, Gelbach, and Miller (2011) and the cluster bootstrap of Menzel (2021). Our asymptotic distribution theory is the first which allows for this level of interdependence among the observations. Under weak regularity conditions, we demonstrate that the least squares estimator is asymptotically normal, our proposed variance estimator is consistent, and t-ratios are asymptotically standard normal, permitting conventional inference. We present simulation evidence that confidence intervals constructed with our proposed standard errors obtain superior coverage performance relative to existing methods. We illustrate the relevance of the proposed method in an empirical application to a standard Fama-French three-factor regression.

This seminar will be held via webinar on Zoom at 4pm on Wednesday 8th June. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.

 

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Contact the seminar organisers
Neslihan Sakarya Department of Economics
University of Essex
Department of Economics University of Essex
Wivenhoe Park, Colchester, Essex, CO4 3SQ
Telephone: 01206 872728

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