Inference with Dyadic Data: Asymptotic Behavior of the Dyadic-Robust t-Statistic

2015/10/23 by Max Tabord‐Meehan, Tabord-Meehan, Max · 1 citation
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Spatial and Panel Data Analysis #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1510.07074

openalex publication_date 2015/10/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is concerned with inference in the linear model with dyadic data. Dyadic data is data that is indexed by pairs of "units", for example trade data between pairs of countries. Because of the potential for observations with a unit in common to be correlated, standard inference procedures may not perform as expected. We establish a range of conditions under which a t-statistic with the dyadic-robust variance estimator of Fafchamps and Gubert (2007) is asymptotically normal. Using our theoretical results as a guide, we perform a simulation exercise to study the validity of the normal approximation, as well as the performance of a novel finite-sample correction. We conclude with guidelines for applied researchers wishing to use the dyadic-robust estimator for inference.

Citations

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Robust Inference With Multiway Clustering
• Bootstrap-Based Improvements for Inference with Clustered Errors

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• Causal inference with dyadic data in randomized experiments

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