Treatment Effects with Many Covariates and Heteroskedasticity

Matias Cattaneo, Michael Jansson and Whitney Newey

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: The linear regression model is widely used in empirical work in Economics. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We give inference methods that allow for many covariates and heteroskedasticity. Our results are obtained using high-dimensional approximations, where the number of covariates are allowed to grow as fast as the sample size. We find that all of the usual versions of Eicker-White heteroskedasticity consistent standard error estimators for linear models are inconsistent under this asymptotics. We then propose a new heteroskedasticity consistent standard error formula that is fully automatic and robust to both (conditional) heteroskedasticity of unknown form and the inclusion of possibly many covariates. We apply our findings to three settings: (i) parametric linear models with many covariates, (ii) semiparametric semi-linear models with many technical regressors, and (iii) linear panel models with many fixed effects.

Keywords: high-dimensional models; linear regression; many regressors; heteroskedasticity; standard errors. (search for similar items in EconPapers)
JEL-codes: C12 C14 C21 (search for similar items in EconPapers)
Pages: 35
Date: 2015-07-09
New Economics Papers: this item is included in nep-ecm and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/15/rp15_31.pdf (application/pdf)

Related works:
Working Paper: Treatment effects with many covariates and heteroskedasticity (2015)
Working Paper: Treatment effects with many covariates and heteroskedasticity (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2015-31

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().