Arbeitspapier
Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust
Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial leverage, and functions of them, can be used as diagnostic tools to identify datasets and regression designs in which cluster-robust inference is likely to be challenging. The measures of influence can provide valuable information about how the results depend on the data in the various clusters. We also show how to calculate two jackknife variance matrix estimators, CV3 and CV3J, as a byproduct of our other computations. All these quantities, including the jackknife variance estimators, are computed in a new Stata package called summclust that summarizes the cluster structure of a dataset.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen’s Economics Department Working Paper ; No. 1483
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Hypothesis Testing: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Econometric Software
- Thema
-
clustered data
cluster-robust variance estimator
grouped data
highleverageclusters
influential clusters
jackknife
partial leverage
robust inference
- Ereignis
-
Geistige Schöpfung
- (wer)
-
MacKinnon, James G.
Nielsen, Morten Ørregaard
Webb, Matthew D.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- MacKinnon, James G.
- Nielsen, Morten Ørregaard
- Webb, Matthew D.
- Queen's University, Department of Economics
Entstanden
- 2022
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