This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection...

This paper studies the properties of the wild bootstrap-based test proposed in Cameron et al. (2008) in settings with clustered data. Cameron et al. (2008) provide simulations that suggest this test works well even in settings with as few as five clusters, but existing theoretical analyses of...

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

We show that the identification results of finite mixture and misclassification models are equivalent in a widely-used scenario except an extra ordering assumption. In the misclassification model, an ordering condition is imposed to pin down the precise values of the latent variable, which are...

The fast double bootstrap can improve considerably on the single bootstrap when the bootstrapped statistic is approximately independent of the bootstrap DGP. This is because, among the approximations that underlie the fast double bootstrap (FDB), is the assumption of such independence. In this...

When analyzing what determines the efficiency of production, regressing efficiency scores estimated by DEA on explanatory variables has much intuitive appeal. Simar and Wilson (2007) show that this nai͏̈ve two-stage estimation procedure suffers from severe flaws, that render its results, and...

Conventional wisdom says that the middle classes in many developed countries have recently suffered losses, in terms of both the share of the total population belonging to the middle class, and also their share in total income. Here, distribution-free methods are developed for inference on these...

In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...

The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form. Over the past thirty years, it has been extended to models estimated by instrumental variables and maximum likelihood, and to ones where the error terms are (perhaps multi-way) clustered....