Robust Standard Errors in Small Samples: Some Practical Advice

Guido Imbens and Michal Kolesar

No 18478, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the conventional robust standard errors. We show that the Bell-McCaffrey modification is the natural extension of a principled approach to the Behrens-Fisher problem, and suggest a further improvement for the case with clustering. We show that these standard errors can lead to substantial improvements in coverage rates even for sample sizes of fifty and more. We recommend researchers calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors and use the modification as a matter of routine.

JEL-codes: C01 (search for similar items in EconPapers)
Date: 2012-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (32)

Published as Guido W. Imbens & Michal Kolesár, 2016. "Robust Standard Errors in Small Samples: Some Practical Advice," Review of Economics and Statistics, vol 98(4), pages 701-712.

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