Fast cluster bootstrap methods for linear regression models

James MacKinnon

Econometrics and Statistics, 2023, vol. 26, issue C, 52-71

Abstract: Efficient computational algorithms for bootstrapping linear regression models with clustered data are discussed. For ordinary least squares (OLS) regression, a new algorithm is provided for the pairs cluster bootstrap, along with two algorithms for the wild cluster bootstrap. One of these is a new way to express an existing method. For instrumental variables (IV) regression, an efficient algorithm is provided for the wild restricted efficient cluster (WREC) bootstrap. All computations are based on matrices and vectors that contain sums of squares and cross-products for the observations within each cluster, which have to be computed just once before the bootstrap loop begins. Monte Carlo experiments are used to study the finite-sample properties of bootstrap Wald tests for OLS regression and of WREC bootstrap tests for IV regression.

Keywords: cluster-robust variance estimator; CRVE; wild cluster bootstrap; pairs cluster bootstrap; wild restricted efficient cluster bootstrap; bootstrap Wald test (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Working Paper: Fast cluster bootstrap methods for linear regression models (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71

DOI: 10.1016/j.ecosta.2021.11.009

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