Asymptotic theory and wild bootstrap inference with clustered errors

DOI10.1016/j.jeconom.2019.04.035zbMath1452.62902OpenAlexW2945534287WikidataQ128036021 ScholiaQ128036021MaRDI QIDQ2330727

James G. MacKinnon, Antoine A. Djogbenou, Morten Ørregaard Nielsen

Publication date: 23 October 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/274725/files/qed_wp_1399.pdf

zbMATH Keywords

clustered datainferenceEdgeworth expansionwild cluster bootstrapcluster-robust variance estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09)

Related Items

Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference ⋮ Bootstrap inference under cross‐sectional dependence ⋮ Some impossibility results for inference with cluster dependence with large clusters ⋮ Using large samples in econometrics ⋮ Testing for the appropriate level of clustering in linear regression models ⋮ Cluster-robust inference: a guide to empirical practice ⋮ Randomization inference for difference-in-differences with few treated clusters ⋮ Simple and trustworthy cluster-robust GMM inference ⋮ Inference in time series models using smoothed-clustered standard errors

Uses Software

• boottest

Cites Work

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