IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s458121.html
 

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

Author

Listed:
  • David Roodman

Programming Language

Stata

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 16 Apr 2024.
    • Handle: RePEc:boc:bocode:s458121
    Note: This module should be installed from within Stata by typing "ssc install boottest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/boottest_1.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/artest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/scoretest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/w/waldtest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lboottest.mlib
    File Function: Mata object library
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s458121. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.