Robust Standard Errors in Small Samples: Some Practical Advice
研究了异方差稳健置信区间在小样本中的性质，推荐使用Bell-McCaffrey自由度调整来改善覆盖概率，尤其适用于聚类数据。
We study the properties of heteroskedasticity-robust confidence intervals for regression parameters. We show that confidence intervals based on a degrees-of-freedom correction suggested by Bell and McCaffrey (2002) are a natural extension of a principled approach to the Behrens-Fisher problem. We 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 samples with fifty or more clusters.We recommend that researchers routinely calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors.