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Wild Bootstrap and Asymptotic Inference With Multiway Clustering.
- Source :
- Journal of Business & Economic Statistics; Apr2021, Vol. 39 Issue 2, p505-519, 15p
- Publication Year :
- 2021
-
Abstract
- We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotically valid inferences. In particular, one of the CRVEs requires stronger assumptions about the nature of the intra-cluster correlations. We then propose several wild bootstrap procedures and state conditions under which they are asymptotically valid for each type of t-statistic. Extensive simulations suggest that using certain bootstrap procedures with one of the t-statistics generally performs very well. An empirical example confirms that bootstrap inferences can differ substantially from conventional ones. [ABSTRACT FROM AUTHOR]
- Subjects :
- STATISTICAL bootstrapping
REGRESSION analysis
Subjects
Details
- Language :
- English
- ISSN :
- 07350015
- Volume :
- 39
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Business & Economic Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 149476835
- Full Text :
- https://doi.org/10.1080/07350015.2019.1677473