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.
Originalsprog | Engelsk |
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Tidsskrift | Journal of Business and Economic Statistics |
Vol/bind | 39 |
Nummer | 2 |
Sider (fra-til) | 505-519 |
Antal sider | 15 |
ISSN | 0735-0015 |
DOI | |
Status | Udgivet - 2021 |