Using Large Samples in Econometrics

James MacKinnon

No 1482, Working Paper from Economics Department, Queen's University

Abstract: As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues. We must be careful in our choice of statistical methods and the algorithms used to implement them.

Keywords: datasets; clustered data; statistical computation; statistical inference; bootstrap (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 C55 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2022-02
New Economics Papers: this item is included in nep-cwa, nep-ecm and nep-ore
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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1482.pdf First version 2022 (application/pdf)

Related works:
Journal Article: Using large samples in econometrics (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1482

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