TY  - JOUR
AU  - Imbens,Guido W.
AU  - Kolesar,Michal
TI  - Robust Standard Errors in Small Samples: Some Practical Advice
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18478
PY  - 2012
Y2  - October 2012
UR  - http://www.nber.org/papers/w18478
L1  - http://www.nber.org/papers/w18478.pdf
N1  - Author contact info:
Guido Imbens
Graduate School of Business
Stanford University
655 Knight Way
Stanford, CA 94305
Tel: 617/384-7485
Fax: 617/495-7730
E-Mail: Imbens@stanford.edu

Michal Kolesar
Department of Economics
Harvard University
E-Mail: kolesarm@nber.org
AB  - In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the conventional robust standard errors. We show that the Bell-McCaffrey modification is the natural extension of a principled approach to the Behrens-Fisher problem, and suggest a further improvement for the case with clustering. We show that these standard errors can lead to substantial improvements in coverage rates even for sample sizes of fifty and more. We recommend researchers calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors and use the modification as a matter of routine.
ER  -