Thursday, November 30, 2017, 04:00pm - 05:30pm
Bruce Hansen, University of Wisconsin
"The Exact Distribution of the t-Ratio with Robust and Clustered Standard Errors"
Abstract: This paper derives a computable form for the exact distribution of the White and cluster-robust t-ratio in the linear regression model, under the assumption of i.i.d. normal errors. The exact distribution can be quite different from the conventional normal and t approximations when the regression design is highly leveraged. The exact distribution eliminates this distortion.