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Wild cluster bootstrap confidence intervals

Listed author(s):
  • James G. MacKinnon

    ()

    (Queen's University)

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.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1329.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 1329.

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Length: 24 pages
Date of creation: Oct 2014
Handle: RePEc:qed:wpaper:1329
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  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. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  3. 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.
  4. 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.
  5. James G. MacKinnon & Matthew D. Webb, 2015. "Wild Bootstrap Inference for Wildly Different Cluster Sizes," Working Papers 1314, Queen's University, Department of Economics.
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