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ANCOVA power calculation in the presence of serial correlation and time shocks: A comment on Burlig et al. (2020)

Working paper
Authors Claes Ek
Publisher University of Gothenburg
Place of publication Gothenburg
Publication year 2020
Published at Department of Economics
Language en
Keywords power calculation, randomized experiments, experimental design, panel data, ANCOVA
Subject categories Economics and Business

Abstract

Recent research by Burlig et al. (2020) has produced a useful formula for performing di erencein- di erences power calculation in the presence of serially correlated errors. A similar formula for the ANCOVA estimator is shown by the authors to yield incorrect power in real data where time shocks are present. This note demonstrates that the serial-correlation-robust ANCOVA formula is in fact correct under time shocks as well. The reason that errors arise in Burlig et al. (2020) is because time shocks remain unaccounted for in the intermediate step where residual-based variance parameters are estimated from pre-existing data. When that procedure is adjusted accordingly, the serial-correlation-robust ANCOVA formula of Burlig et al. (2020) can be accurately used for power calculation.

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