Arbeitspapier
Bootstrap and Asymptotic Inference with Multiway Clustering
We study a cluster-robust variance estimator (CRVE) for regression models with clustering in two dimensions that was proposed in Cameron, Gelbach, and Miller (2011). We prove that this CRVE is consistent and yields valid inferences under precisely stated assumptions about moments and cluster sizes. We then propose several wild bootstrap procedures and prove that they are asymptotically valid. Simulations suggest that bootstrap inference tends to be much more accurate than inference based on the t distribution, especially when there are few clusters in at least one dimension. An empirical example confirms that bootstrap inferences can differ substantially from conventional ones.
- Sprache
-
Englisch
- Erschienen in
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Series: Queen's Economics Department Working Paper ; No. 1386
- Klassifikation
-
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
- Thema
-
CRVE
grouped data
clustered data
cluster-robust variance estimator
multiway clustering
robust inference
wild bootstrap
wild cluster bootstrap
- Ereignis
-
Geistige Schöpfung
- (wer)
-
MacKinnon, James G.
Nielsen, Morten Ørregaard
Webb, Matthew D.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- MacKinnon, James G.
- Nielsen, Morten Ørregaard
- Webb, Matthew D.
- Queen's University, Department of Economics
Entstanden
- 2017
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