IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Reworking Wild Bootstrap Based Inference for Clustered Errors

Author Info

  • Matthew D. Webb

    ()

    (University of Calgary)

Abstract

Many empirical projects involve estimation with clustered data. While estimation is straightforward, reliable inference can be challenging. Past research has suggested a number of bootstrap procedures when there are few clusters. I demonstrate, using Monte Carlo experiments, that these bootstrap procedures perform poorly with fewer than eleven clusters. With few clusters, the wild cluster bootstrap results in p-values that are not point identified. I suggest two alternative wild bootstrap procedures. Monte Carlo simulations provide evidence that a 6-point bootstrap weight distribution improves the reliability of inference. A brief empirical example concerning education tax credits highlights the implications of these findings.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1315.pdf
File Function: First version 2014
Download Restriction: no

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1315.

as
in new window

Length: 22 pages
Date of creation: Nov 2014
Date of revision:
Handle: RePEc:qed:wpaper:1315
Contact details of provider: Postal:
Kingston, Ontario, K7L 3N6

Phone: (613) 533-2250
Fax: (613) 533-6668
Web page: http://qed.econ.queensu.ca/
Email:


More information through EDIRC

Keywords: CRVE; grouped data; clustered data; panel data; wild bootstrap; wild cluster bootstrap; difference in differences; placebo laws;

Find related papers by 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

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Alberto Abadie, 2005. "Semiparametric Difference-in-Differences Estimators," Review of Economic Studies, Oxford University Press, vol. 72(1), pages 1-19.
  2. Jonathan Gruber & James Poterba, 1994. "Tax Incentives and the Decision to Purchase Health Insurance: Evidence from the Self-Employed," The Quarterly Journal of Economics, Oxford University Press, vol. 109(3), pages 701-733.
  3. David Card & Alan B. Krueger, 1993. "Minimum Wages and Employment: A Case Study of the Fast Food Industry in New Jersey and Pennsylvania," NBER Working Papers 4509, National Bureau of Economic Research, Inc.
  4. Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
  5. DiNardo, John & Lee, David S., 2011. "Program Evaluation and Research Designs," Handbook of Labor Economics, Elsevier.
  6. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2007. "Bootstrap-Based Improvements for Inference with Clustered Errors," NBER Technical Working Papers 0344, National Bureau of Economic Research, Inc.
  7. A. Colin Cameron & Douglas L. Miller, 2010. "Robust Inference with Clustered Data," Working Papers 106, University of California, Davis, Department of Economics.
  8. Gruber, J. & Poterba, J., 1994. "Tax Incentives and the Decision to Purchase Health Insurance: Evidence from the Self-Employed," Working papers 94-10, Massachusetts Institute of Technology (MIT), Department of Economics.
  9. Thompson, Samuel B., 2011. "Simple formulas for standard errors that cluster by both firm and time," Journal of Financial Economics, Elsevier, vol. 99(1), pages 1-10, January.
  10. James G. MacKinnon & Matthew D. Webb, 2015. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Working Papers 1314, Queen's University, Department of Economics.
  11. Nada Eissa & Jeffrey B. Liebman, 1996. "Labor Supply Response to the Earned Income Tax Credit," The Quarterly Journal of Economics, Oxford University Press, vol. 111(2), pages 605-637.
  12. Ibragimov, Rustam & Müller, Ulrich K., 2010. "t-Statistic Based Correlation and Heterogeneity Robust Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 453-468.
  13. Bruce D. Meyer, 1994. "Natural and Quasi- Experiments in Economics," NBER Technical Working Papers 0170, National Bureau of Economic Research, Inc.
  14. Stephen G. Donald & Kevin Lang, 2007. "Inference with Difference-in-Differences and Other Panel Data," The Review of Economics and Statistics, MIT Press, vol. 89(2), pages 221-233, May.
  15. Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B., 2011. "Inference with dependent data using cluster covariance estimators," Journal of Econometrics, Elsevier, vol. 165(2), pages 137-151.
  16. William Rogers, 1994. "Regression standard errors in clustered samples," Stata Technical Bulletin, StataCorp LP, vol. 3(13).
  17. Abadie, Alberto & Diamond, Alexis & Hainmueller, Jens, 2010. "Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California’s Tobacco Control Program," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 493-505.
  18. Timothy G. Conley & Christopher R. Taber, 2011. "Inference with "Difference in Differences" with a Small Number of Policy Changes," The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 113-125, February.
  19. Kloek, T, 1981. "OLS Estimation in a Model Where a Microvariable Is Explained by Aggregates and Contemporaneous Disturbances Are Equicorrelated," Econometrica, Econometric Society, vol. 49(1), pages 205-07, January.
  20. Jeffrey M. Wooldridge, 2003. "Cluster-Sample Methods in Applied Econometrics," American Economic Review, American Economic Association, vol. 93(2), pages 133-138, May.
Full references (including those not matched with items on IDEAS)

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as in new window


Cited by:

  1. BHARADWAJ, Prachant & LAKDAWALA, Leah K. & LI, Nicholas, 2016. "Perverse Consequences Of Well-Intentioned Regulation: Evidence From India’S Child Labor Ban," Discussion paper series HIAS-E-25, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  2. Ariel BenYishay & Pauline Grosjean & Joseph Vecci, 2015. "The Fish is the Friend of Matriliny: Reef Density Predicts Matrilineal Inheritance," Discussion Papers 2015-21, School of Economics, The University of New South Wales.
  3. Tegawa, Mihoko & Uchida, Hirotsugu, 2015. "Do Management Systems Foster Social Capital? Empirical Evidence from Japanese Surf Clam Fisheries," MPRA Paper 64996, University Library of Munich, Germany.
  4. Hener, Timo & Rainer, Helmut & Bauernschuster, Stefan, 2015. "When Labor Disputes Bring Cities to a Standstill: The Impact of Public Transit Strikes on Traffic, Accidents, Air Pollution, and Health," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112957, Verein für Socialpolitik / German Economic Association.
  5. Brewer, Mike & Crossley, Thomas F. & Joyce, Robert, 2013. "Inference with Difference-in-Differences Revisited," IZA Discussion Papers 7742, Institute for the Study of Labor (IZA).
  6. Makram El-Shagi & Gregor von Schweinitz, 2015. "The Joint Dynamics of Sovereign Ratings and Government Bond Yields," IWH Discussion Papers 4, Halle Institute for Economic Research.
  7. repec:zbw:iwhdps:4-15 is not listed on IDEAS
  8. repec:fgv:eesptd:411 is not listed on IDEAS
  9. Makram El-Shagi & Claus Michelsen & Sebastian Rosenschon, 2014. "Regulation, Innovation and Technology Diffusion: Evidence from Building Energy Efficiency Standards in Germany," Discussion Papers of DIW Berlin 1371, DIW Berlin, German Institute for Economic Research.
  10. Paul, Annemarie, 2015. "After work shopping? Employment effects of a deregulation of shop opening hours in the German retail sector," European Economic Review, Elsevier, vol. 80(C), pages 329-353.
  11. Webb, Matthew D. & Warman, Casey & Sweetman, Arthur, 2016. "Targeting Tax Relief at Youth Employment," IZA Discussion Papers 10182, Institute for the Study of Labor (IZA).
  12. James G. MacKinnon & Matthew D. Webb, 2015. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Working Papers 1314, Queen's University, Department of Economics.
  13. Hardardottir, Hjördis, 2016. "Long Term Stability of Time Preferences and the Role of the Macroeconomic Situation," Working Papers 2016:5, Lund University, Department of Economics, revised 29 Aug 2016.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1315. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.