Wild Cluster Bootstrap Confidence Intervals

James MacKinnon

No 1329, Working Paper from Economics Department, Queen's University

Abstract: Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervalsobtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals basedon the wild cluster bootstrap, and restricted bootstrap intervals obtained by inverting bootstrap Wald and LM tests. It also studies the choice of an auxiliary distribution for the wild bootstrap, a modified covariance matrix based on transforming the residuals, which was proposed previously, and modified wild bootstrap procedures based onthe same idea, which are new. Some procedures perform extraordinarily well even with the number of clusters is small.

Keywords: wild bootstrap; auxiliary distribution; CRVE; cluster-robust inference; studentized bootstrap (search for similar items in EconPapers)
JEL-codes: C15 C21 C23 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1329.pdf First version 2014 (application/pdf)

Related works:
Journal Article: Wild cluster bootstrap confidence intervals (2020)
Journal Article: WILD CLUSTER BOOTSTRAP CONFIDENCE INTERVALS (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1329

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