Abstract

http://ssrn.com/abstract=1932573
 
 

References (26)



 
 

Citations (1)



 
 

Footnotes (1)



 


 



Robust Inference for Misspecified Models Conditional on Covariates


Alberto Abadie


Harvard University - Harvard Kennedy School (HKS); National Bureau of Economic Research (NBER)

Guido W. Imbens


Stanford Graduate School of Business

Fanyin Zheng


affiliation not provided to SSRN

September 2011

NBER Working Paper No. w17442

Abstract:     
Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between the conditional expectation and the linear approximation, averaged over the population distribution of the covariates. In nonlinear settings a similar interpretation applies. In this note we discuss an alternative parameter that corresponds to the approximation to the conditional expectation based on minimization of the squared difference averaged over the sample, rather than the population, distribution of a subset of the variables. We argue that in some cases this may be a more interesting parameter. We derive the asymptotic variance for this parameter, generally smaller than the White robust variance, and we propose a consistent estimator for the asymptotic variance.

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Number of Pages in PDF File: 25

working papers series


Date posted: September 23, 2011  

Suggested Citation

Abadie, Alberto and Imbens, Guido W. and Zheng, Fanyin, Robust Inference for Misspecified Models Conditional on Covariates (September 2011). NBER Working Paper No. w17442. Available at SSRN: http://ssrn.com/abstract=1932573

Contact Information

Alberto Abadie (Contact Author)
Harvard University - Harvard Kennedy School (HKS) ( email )
79 John F. Kennedy Street
Cambridge, MA 02138
United States
617-496-4547 (Phone)
617-495-2575 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Guido W. Imbens
Stanford Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States

Fanyin Zheng
affiliation not provided to SSRN ( email )
No Address Available
Feedback to SSRN


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References:  26
Citations:  1
Footnotes:  1

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