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Wild cluster bootstrap confidence intervals

Author

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  • James G. MacKinnon

    () (Queen's University)

Abstract

Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster bootstrap, and restricted bootstrap intervals obtained by inverting bootstrap Wald and LM tests. It also studies the choice of an auxiliary distribution for the wild bootstrap, a modified covariance matrix based on transforming the residuals, which was proposed previously, and modified wild bootstrap procedures based on the same idea, which are new. Some procedures perform extraordinarily well even with the number of clusters is small.

Suggested Citation

  • James G. MacKinnon, 2014. "Wild cluster bootstrap confidence intervals," Working Papers 1329, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:1329
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1329.pdf
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    References listed on IDEAS

    as
    1. Guido W. Imbens & Michal Kolesár, 2016. "Robust Standard Errors in Small Samples: Some Practical Advice," The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 701-712, October.
    2. repec:tpr:restat:v:99:y:2017:i:4:p:698-709 is not listed on IDEAS
    3. repec:wly:japmet:v:32:y:2017:i:2:p:233-254 is not listed on IDEAS
    4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    5. Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
    6. 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.
    7. James G. Mackinnon & Matthew D. Webb, 2017. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 233-254, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2017. "Bootstrap and Asymptotic Inference with Multiway Clustering," Working Papers 1386, Queen's University, Department of Economics.
    2. repec:eee:jbfina:v:88:y:2018:i:c:p:63-75 is not listed on IDEAS
    3. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 63-75.

    More about this item

    Keywords

    wild bootstrap; auxiliary distribution; CRVE; cluster-robust inference; studentized bootstrap;

    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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