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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.14763 |
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| _version_ | 1866912171170988032 |
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| author | Kranz, Sebastian |
| author_facet | Kranz, Sebastian |
| contents | Analysing the Stata regression commands from 4,420 reproduction packages of leading economic journals, we find that, among the 40,571 regressions specifying heteroskedasticity-robust standard errors, 98.1% adhere to Stata's default HC1 specification. We then compare several heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages. Our results show that t-tests based on HC1 or HC2 with default degrees of freedom exhibit substantial over-rejection. Inference methods with customized degrees of freedom, as proposed by Bell and McCaffrey (2002), Hansen (2024), and a novel approach based on partial leverages, perform best. Additionally, we provide deeper insights into the role of leverages and partial leverages across different inference methods. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_14763 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | From Replications to Revelations: Heteroskedasticity-Robust Inference Kranz, Sebastian Econometrics Analysing the Stata regression commands from 4,420 reproduction packages of leading economic journals, we find that, among the 40,571 regressions specifying heteroskedasticity-robust standard errors, 98.1% adhere to Stata's default HC1 specification. We then compare several heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages. Our results show that t-tests based on HC1 or HC2 with default degrees of freedom exhibit substantial over-rejection. Inference methods with customized degrees of freedom, as proposed by Bell and McCaffrey (2002), Hansen (2024), and a novel approach based on partial leverages, perform best. Additionally, we provide deeper insights into the role of leverages and partial leverages across different inference methods. |
| title | From Replications to Revelations: Heteroskedasticity-Robust Inference |
| topic | Econometrics |
| url | https://arxiv.org/abs/2411.14763 |