Wild cluster bootstrap confidence intervals

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 1329

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Subject: wild bootstrap ; auxiliary distribution ; CRVE ; cluster-robust inference ; studentized bootstrap

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): MacKinnon, James G.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/122023
• Last update: 10.03.2025, 11:45 AM CET