Data Management and Analysis: Robust Estimation, Stratification and Clustering

Robust Covariance Estimation

  • Clustering methods for all estimators
  • Stratification and clustering within strata
  • Finite population corrections
  • Panel corrections for least squares estimators

Robust Estimators for Least Squares and GMM

  • White estimator for cross section and panel data estimators
  • Newey-West estimators
  • Newey-West correction with optimal weighting matrices