The Wild Bootstrap with a “Small” Number of “Large” Clusters

نویسندگان

چکیده

Abstract This paper studies the wild bootstrap–based test proposed in Cameron, Gelbach, and Miller (2008). Existing analyses of its properties require that number clusters is “large.” In an asymptotic framework which “small,” we provide conditions under unstudentized version valid. These include homogeneity-like restrictions on distribution covariates. We further establish a studentized may only overreject null hypothesis by “small” amount decreases exponentially with clusters. obtain qualitatively similar result for “score” bootstrap-based tests, permit testing nonlinear models.

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ژورنال

عنوان ژورنال: The Review of Economics and Statistics

سال: 2021

ISSN: ['0034-6535', '1530-9142']

DOI: https://doi.org/10.1162/rest_a_00887