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econ.EM2023
The Fragility of Sparsity
Michal Kolesár, Ulrich K. Müller, Sebastian T. Roelsgaard
We show, using three empirical applications, that linear regression estimates predicated on the assumption of sparsity are fragile in two ways. First, we document that different ch…
econ.EM2021★ 1 cited
Spatial Correlation Robust Inference
Ulrich K. Müller, Mark W. Watson
We propose a method for constructing confidence intervals that account for many forms of spatial correlation. The interval has the familiar `estimator plus and minus a standard err…