Economics Brown Bag Seminar Series – Morten Nielsen (Queen's University)

Room 315, Level 3, FBE Building, 111 Barry Street, Carlton


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Faisal Sohail and Aaron Barkley

Title: Wild bootstrap and asymptotic inference with multiway clustering

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.

Please note the venue change to room 315 for this seminar.