Wild Bootstrap and Asymptotic Inference with Multiway Clustering

James MacKinnon, Morten Nielsen and Matthew Webb

No 1415, Working Paper from Economics Department, Queen's 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; wild cluster bootstrap; robust inference (search for similar items in EconPapers)
JEL-codes: C15 C21 C23 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2019-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1415.pdf First version 2019 (application/pdf)

Related works:
Journal Article: Wild Bootstrap and Asymptotic Inference With Multiway Clustering (2021)
Working Paper: Wild Bootstrap and Asymptotic Inference with Multiway Clustering (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1415

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