Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters

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Tác giả: Wenjie Wang, Yichong Zhang

Ngôn ngữ: eng

Ký hiệu phân loại: 003.76 Stochastic systems

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 167715

Comment: This version only contains results for linear IV regressions. The results for IVQR in the previous versions will be put in a separate paperWe study the wild bootstrap inference for instrumental variable regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed and the number of observations for each cluster diverges to infinity. We first show that the wild bootstrap Wald test, with or without using the cluster-robust covariance estimator, controls size asymptotically up to a small error as long as the parameters of endogenous variables are strongly identified in at least one of the clusters. Then, we establish the required number of strong clusters for the test to have power against local alternatives. We further develop a wild bootstrap Anderson-Rubin test for the full-vector inference and show that it controls size asymptotically up to a small error even under weak or partial identification in all clusters. We illustrate the good finite sample performance of the new inference methods using simulations and provide an empirical application to a well-known dataset about US local labor markets.
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