School Seminar: Morten Ø. Nielsen (Queens University, Canada)
The School of Economics invites you to a School seminar presented by Morten Ø. Nielsen (Queens University, Canada)
Wild bootstrap and asymptotic inference with multiway clustering
James G. MacKinnon (Queens University, Canada) and Matt Webb (Carleton University)
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.