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Inference with dependent data using cluster covariance estimators
13 references·16 citing·53 second hop
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The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. 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References

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  • 2003Cluster-Sample Methods in Applied Econometrics1,219 cited
  • 2004Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models1,035 cited
  • 1998Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions681 cited
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  • 2001On the asymptotic distribution of the Moran I test statistic with applications607 cited
  • 2006GMM and 2SLS estimation of mixed regressive, spatial autoregressive models463 cited
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  • 2006Asymptotic properties of a robust variance matrix estimator for panel data when is large292 cited

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  • 2010Robust Inference with Clustered Data

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  • 2011Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects220 cited
  • 2013Criminal Recidivism after Prison and Electronic Monitoring208 cited
  • 2016Resetting the Urban Network: 117-2012188 cited
  • 2015A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence179 cited
  • 2011The Impact of Rosenwald Schools on Black Achievement165 cited
  • 2019The Long-Run Impacts of a Universal Child Care Program160 cited
  • 2012Clustering, Spatial Correlations, and Randomization Inference146 cited
  • 2018Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework136 cited
  • 2014Reworking Wild Bootstrap Based Inference for Clustered Errors134 cited
  • 2023Reworking wild bootstrap‐based inference for clustered errors116 cited
  • 2019Asymptotic theory and wild bootstrap inference with clustered errors105 cited
  • 2015Highways, local economic structure and urban development99 cited
  • 2017Inference with Dependent Data in Accounting and Finance Applications93 cited
  • 2013Let’s fix it: Fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference90 cited
  • 2011THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS87 cited