NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Fanyin Zheng

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Working Papers

September 2011Robust Inference for Misspecified Models Conditional on Covariates
with Alberto Abadie, Guido W. Imbens: w17442
Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between the conditional expectation and the linear approximation, averaged over the population distribution of the covariates. In nonlinear settings a similar interpretation applies. In this note we discuss an alternative parameter that corresponds to the approximation to the conditional expectation based on minimization of the squared difference averaged over the sample, rather than the population, distribution of a subset of the variables. We argue that in some cases this may be a more interesting pa...

\Inference for Misspeci ed Models with Fixed Regressors," with G.W. Imbens and F. Zheng. Journal of the American Statistical Association (forthcoming).

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