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A Score Based Approach to Wild Bootstrap Inference

Author

Listed:
  • Kline Patrick

    () (University of California, Berkeley)

  • Santos Andres

    () (University of California, San Diego)

Abstract

We propose a generalization of the wild bootstrap of Wu (1986) and Liu (1988) based upon perturbing the scores of M-estimators. This "score bootstrap" procedure avoids recomputing the estimator in each bootstrap iteration, making it substantially less costly to compute than the conventional nonparametric bootstrap, particularly in complex nonlinear models. Despite this computational advantage, in the linear model, the score bootstrap studentized test statistic is equivalent to that of the conventional wild bootstrap up to order Op(n-1). We establish the consistency of the procedure for Wald and Lagrange Multiplier type tests and tests of moment restrictions for a wide class of M-estimators under clustering and potential misspecification. In an extensive series of Monte Carlo experiments, we find that the performance of the score bootstrap is comparable to competing approaches despite its computational savings.

Suggested Citation

  • Kline Patrick & Santos Andres, 2012. "A Score Based Approach to Wild Bootstrap Inference," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 23-41, August.
    • Handle: RePEc:bpj:jecome:v:1:y:2012:i:1:p:23-41:n:4
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    References listed on IDEAS

    as
    1. Chesher, Andrew, 1995. "A Mirror Image Invariance for M-Estimators," Econometrica, Econometric Society, vol. 63(1), pages 207-211, January.
    2. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, March.
    3. Hiroaki Kaido & Andres Santos, 2014. "Asymptotically Efficient Estimation of Models Defined by Convex Moment Inequalities," Econometrica, Econometric Society, vol. 82(1), pages 387-413, January.
    4. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 24(01), pages 43-71, February.
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    Cited by:

    1. Melvin Stephens, Jr. & Desmond J. Toohey, 2018. "The Impact of Health on Labor Market Outcomes: Experimental Evidence from MRFIT," NBER Working Papers 24231, National Bureau of Economic Research, Inc.
    2. Baumgarten, Daniel & Kvasnicka, Michael, 2017. "Temporary agency work and the Great Recession," Journal of Economic Behavior & Organization, Elsevier, vol. 136(C), pages 29-44.
    3. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    4. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Papers 1411.1144, arXiv.org, revised Mar 2015.
    5. Federico Belotti & Edoardo Di Porto & Gianluca Santoni, 2016. "The Effect of Local Taxes on Firm Performance: Evidence from Geo-referenced Data," CEIS Research Paper 377, Tor Vergata University, CEIS, revised 13 Apr 2016.
    6. A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
    7. A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
    8. repec:cup:etheor:v:33:y:2017:i:05:p:1218-1241_00 is not listed on IDEAS
    9. Kaido, Hiroaki, 2017. "Asymptotically Efficient Estimation Of Weighted Average Derivatives With An Interval Censored Variable," Econometric Theory, Cambridge University Press, vol. 33(05), pages 1218-1241, October.
    10. Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2014.
    11. repec:eee:jeeman:v:86:y:2017:i:c:p:121-140 is not listed on IDEAS
    12. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
    13. Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP57/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    14. repec:eee:jeborg:v:142:y:2017:i:c:p:64-78 is not listed on IDEAS
    15. Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014. "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 179(2), pages 128-133.
    16. Charles E. Gibbons & Juan Carlos Suárez Serrato & Michael B. Urbancic, 2014. "Broken or Fixed Effects?," NBER Working Papers 20342, National Bureau of Economic Research, Inc.
    17. Su, Liangjun & Hoshino, Tadao, 2016. "Sieve instrumental variable quantile regression estimation of functional coefficient models," Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
    18. repec:eee:jeborg:v:141:y:2017:i:c:p:177-187 is not listed on IDEAS
    19. Linda Babcock & Maria P. Recalde & Lise Vesterlund & Laurie Weingart, 2017. "Gender Differences in Accepting and Receiving Requests for Tasks with Low Promotability," American Economic Review, American Economic Association, vol. 107(3), pages 714-747, March.
    20. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," CeMMAP working papers CWP38/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    21. Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897RR, Cowles Foundation for Research in Economics, Yale University, revised Nov 2014.
    22. Keith Finlay & Leandro M. Magnusson, 2014. "Bootstrap Methods for Inference with Cluster-Sample IV Models," Economics Discussion / Working Papers 14-12, The University of Western Australia, Department of Economics.

    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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