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Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster...
Persistent link: https://www.econbiz.de/10010958959
There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...
Persistent link: https://www.econbiz.de/10005688288
This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for...
Persistent link: https://www.econbiz.de/10005688319
We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...
Persistent link: https://www.econbiz.de/10005688408
White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation...
Persistent link: https://www.econbiz.de/10009024918
Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster...
Persistent link: https://www.econbiz.de/10010385823
Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster...
Persistent link: https://www.econbiz.de/10011380809
We study asymptotic inference based on cluster-robust variance estimators for regression models with clustered errors, focusing on the wild cluster bootstrap and the ordinary wild bootstrap. We state conditions under which both asymptotic and bootstrap tests and confidence intervals will be...
Persistent link: https://www.econbiz.de/10011939434
We study a cluster-robust variance estimator (CRVE) for regression models with clustering in two dimensions that was proposed in Cameron, Gelbach, and Miller (2011). We prove that this CRVE is consistent and yields valid inferences under precisely stated assumptions about moments and cluster...
Persistent link: https://www.econbiz.de/10011939437
We study asymptotic inference based on cluster-robust variance estimators for regression models with clustered errors, focusing on the wild cluster bootstrap and the ordinary wild bootstrap. We state conditions under which both asymptotic and bootstrap tests and confidence intervals will be...
Persistent link: https://www.econbiz.de/10011939450