School Seminar: Morten Ø. Nielsen (Queens University, Canada) – School of Economics School Seminar: Morten Ø. Nielsen (Queens University, Canada) – School of Economics

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

 

Co-authors: 

James G. MacKinnon (Queens University, Canada) and Matt Webb (Carleton University)

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.

Date

Sep 05 2019
Expired!

Time

11:00 am - 12:30 pm

Location

Room 650, Social Sciences Building (A02)
Category

Organizer

Dave Mc Manamon
Phone
93514587
Email
dave.mcmanamon@sydney.edu.au

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