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Wild Bootstrap and Asymptotic Inference with Multiway Clustering

James MacKinnon (), Morten Nielsen () and Matthew Webb

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

Abstract: We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotically valid inferences. In particular, one of the CRVEs requires stronger assumptions about the nature of the intra-cluster correlations. We then propose several wild bootstrap procedures and state conditions under which they are asymptotically valid for each type of t-statistic. Extensive simulations suggest that using certain bootstrap procedures with one of the t-statistics generally performs very well. An empirical example confirms that bootstrap inferences can differ substantially from conventional ones.

Keywords: CRVE; grouped data; clustered data; cluster-robust variance estimator; two-way clustering; robust inference; wild cluster bootstrap (search for similar items in EconPapers)
JEL-codes: C15 C21 C23 C25 C36 (search for similar items in EconPapers)
Pages: 36
Date: 2020-06-26
New Economics Papers: this item is included in nep-ore
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ftp://ftp.econ.au.dk/creates/rp/20/rp20_06.pdf (application/pdf)

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Working Paper: Wild Bootstrap and Asymptotic Inference with Multiway Clustering (2019) Downloads
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