Robust Inference for Misspecified Models Conditional on Covariates

Alberto Abadie, Guido W. Imbens, Fanyin Zheng

NBER Working Paper No. 17442
Issued in September 2011
NBER Program(s):   TWP

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 parameter. We derive the asymptotic variance for this parameter, generally smaller than the White robust variance, and we propose a consistent estimator for the asymptotic variance.

You may purchase this paper on-line in .pdf format from ($5) for electronic delivery.

Information about Free Papers

You should expect a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.


Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w17442

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

Users who downloaded this paper also downloaded these:
Abadie and Imbens w15301 Matching on the Estimated Propensity Score
Deaton w17128 The Financial Crisis and the Well-Being of Americans
Imbens and Kolesar w18478 Robust Standard Errors in Small Samples: Some Practical Advice
Kolesar, Chetty, Friedman, Glaeser, and Imbens w17519 Identification and Inference with Many Invalid Instruments
Imbens w19983 Instrumental Variables: An Econometrician's Perspective
NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us