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Book part
Publication date: 10 April 2019

James G. MacKinnon and Matthew D. Webb

When there are few treated clusters in a pure treatment or difference-in-differences setting, t tests based on a cluster-robust variance estimator can severely over-reject…

Abstract

When there are few treated clusters in a pure treatment or difference-in-differences setting, t tests based on a cluster-robust variance estimator can severely over-reject. Although procedures based on the wild cluster bootstrap often work well when the number of treated clusters is not too small, they can either over-reject or under-reject seriously when it is. In a previous paper, we showed that procedures based on randomization inference (RI) can work well in such cases. However, RI can be impractical when the number of possible randomizations is small. We propose a bootstrap-based alternative to RI, which mitigates the discrete nature of RI p values in the few-clusters case. We also compare it to two other procedures. None of them works perfectly when the number of clusters is very small, but they can work surprisingly well.

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The Econometrics of Complex Survey Data
Type: Book
ISBN: 978-1-78756-726-9

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Book part
Publication date: 10 April 2019

Abstract

Details

The Econometrics of Complex Survey Data
Type: Book
ISBN: 978-1-78756-726-9

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