Gradient wild bootstrap for instrumental variable quantile regressions with weak and few clusters

Wenjie Wang () and Yichong Zhang ()
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Wenjie Wang: Division of Economics, School of Social Sciences, Nanyang Technological University.
Yichong Zhang: School of Economics, Singapore Management University

No 15-2024, Economics and Statistics Working Papers from Singapore Management University, School of Economics

Abstract: We study the gradient wild bootstrap-based inference for instrumental variable quantile regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed, and the number of observations for each cluster diverges to infinity. For the Wald inference, we show that our wild bootstrap Wald test, with or without studentization using the cluster-robust covariance estimator (CRVE), controls size asymptotically up to a small error as long as the parameter of endogenous variable is strongly identified in at least one of the clusters. We further show that the wild bootstrap Wald test with CRVE studentization is more powerful for distant local alternatives than that without. Last, we develop a wild bootstrap Anderson-Rubin (AR) test for the weak-identification-robust inference. We show it controls size asymptotically up to a small error, even under weak or partial identification for all clusters. We illustrate the good f inite-sample performance of the new inference methods using simulations and provide an empirical application to a well-known dataset about US local labor markets.

Keywords: Gradient Wild Bootstrap; Weak Instruments; Clustered Data; Randomization Test; Instrumental Variable Quantile Regression (search for similar items in EconPapers)
JEL-codes: C12 C26 C31 (search for similar items in EconPapers)
Pages: 75 pages
Date: 2024-08-21
New Economics Papers: this item is included in nep-sea
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