Asymptotic theory and wild bootstrap inference with clustered errors

DOI10.1016/j.jeconom.2019.04.035zbMath1452.62902MaRDI 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 data; inference; Edgeworth expansion; wild cluster bootstrap; cluster-robust variance estimator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

62G09: Nonparametric statistical resampling methods

Related Items

Simple and trustworthy cluster-robust GMM inference, Randomization inference for difference-in-differences with few treated clusters

Uses Software

• boottest

Cites Work

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