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BOOTTEST: Stata module to provide fast execution of the wild bootstrap with null imposed

Author

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  • David Roodman

    ()

Abstract

boottest is a post-estimation command that offers fast execution of the wild bootstrap (Wu 1986) with null imposed, as recommended by Cameron, Gelbach, and Miller (2008) for estimates with clustered standard errors and few clusters. It also performs the “score bootstrap” (Kline and Santos 2012), which adapts the wild approach to Maximum Likelihood estimators. Two wrappers, waldtest and scoretest, give easy access to the classical Wald (1943) and Rao (1948) score/Lagrange multiplier tests. boottest works after regress, cnsreg, ivreg, ivregress, ivreg2 and most Stata ML-based estimation commands. boottest offers inference based on multi-way clustering after many Stata estimation commands that do not otherwise support it. When bootstrapping, it offers a choice of Rademacher, Mammen (1993), Webb (2014), and standard normal weights. boottest requires Stata version 11.2 or later and runs fastest in version 13 or later.

Suggested Citation

  • David Roodman, 2015. "BOOTTEST: Stata module to provide fast execution of the wild bootstrap with null imposed," Statistical Software Components S458121, Boston College Department of Economics, revised 08 Jul 2018.
  • Handle: RePEc:boc:bocode:s458121
    Note: This module should be installed from within Stata by typing "ssc install boottest". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/a/artest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/s/scoretest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/w/waldtest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lboottest.mlib
    File Function: Mata object library
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