5 papers
Variance Estimation with Dependence and Heterogeneous Means
Luther Yap
This paper develops a framework for variance estimation under dependence and heterogeneous means. This paper shows that consistent estimation of the variance target is impossible i…
Clustering with Potential Multidimensionality: Inference and Practice
Ruonan Xu, Luther Yap
We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for va…
Inference with Many Weak Instruments and Heterogeneity
Luther Yap
This paper considers inference in a linear instrumental variable regression model with many potentially weak instruments, in the presence of heterogeneous treatment effects. I firs…
Valid Wald Inference with Many Weak Instruments
Luther Yap
This paper proposes three novel test procedures that yield valid inference in an environment with many weak instrumental variables (MWIV). It is observed that the t statistic of th…
Sensitivity Analysis for Linear Estimators
Jacob Dorn, Luther Yap
We propose a novel sensitivity analysis framework for linear estimators with identification failures that can be viewed as seeing the wrong outcome distribution. Our approach measu…