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Validity of Wild Bootstrap Inference with Clustered Errors

Author

Listed:
  • Djogbenou, Antoine
  • MacKinnon, James G.
  • Orregaard Nielsen, Morten

Abstract

We study asymptotic inference based on cluster-robust variance estimators for regression models with clustered errors, focusing on the wild cluster bootstrap and the ordinary wild bootstrap. We state conditions under which both asymptotic and bootstrap tests and confidence intervals will be asymptotically valid. These conditions put limits on the rates at which the cluster sizes can increase as the number of clusters tends to infinity. To include power in the analysis, we allow the data to be generated under sequences of local alternatives. Simulation experiments illustrate the theoretical results and show that all methods can work poorly in certain cases.

Suggested Citation

  • Djogbenou, Antoine & MacKinnon, James G. & Orregaard Nielsen, Morten, 2017. "Validity of Wild Bootstrap Inference with Clustered Errors," Queen's Economics Department Working Papers 274709, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:274709
    DOI: 10.22004/ag.econ.274709
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    Cited by:

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    2. Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2021. "The Wild Bootstrap with a “Small” Number of “Large” Clusters," The Review of Economics and Statistics, MIT Press, vol. 103(2), pages 346-363, May.
    3. Timothy Conley & Silvia Gonçalves & Christian Hansen, 2018. "Inference with Dependent Data in Accounting and Finance Applications," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 56(4), pages 1139-1203, September.
    4. MacKinnon, James G. & Orregaard Nielsen, Morten & Webb, Matthew D., 2017. "Bootstrap and Asymptotic Inference with Multiway Clustering," Queen's Economics Department Working Papers 274712, Queen's University - Department of Economics.
    5. Laurent Davezies & Xavier D'Haultfoeuille & Yannick Guyonvarch, 2018. "Asymptotic results under multiway clustering," Papers 1807.07925, arXiv.org, revised Aug 2018.
    6. Antoine A. Djogbenou, 2020. "Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 344-370, April.

    More about this item

    Keywords

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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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