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Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors

Antoine Djogbenou (), James MacKinnon () and Morten Nielsen ()

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We study inference based on cluster-robust variance estimators for regression models with clustered errors, focusing on the wild cluster bootstrap. We state conditions under which asymptotic and bootstrap tests and confidence intervals are asymptotically valid. These conditions put limits on the rates at which the cluster sizes can increase as the number of clusters tends to infinity. We also derive Edgeworth expansions for the asymptotic and bootstrap test statistics. Simulation experiments illustrate the theoretical results and suggest that alternative variants of the wild cluster bootstrap may perform quite differently. The Edgeworth expansions explain the overrejection of asymptotic tests and shed light on the choice of auxiliary distribution and whether to use restricted or unrestricted estimates in the bootstrap data-generating process.

Keywords: Clustered data; cluster-robust variance estimator; Edgeworth expansion; inference; wild cluster bootstrap. (search for similar items in EconPapers)
JEL-codes: C15 C21 C23 (search for similar items in EconPapers)
Date: 2019-04-08
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ftp://ftp.econ.au.dk/creates/rp/19/rp19_05.pdf (application/pdf)

Related works:
Journal Article: Asymptotic theory and wild bootstrap inference with clustered errors (2019) Downloads
Working Paper: Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors (2018) Downloads
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