• Medientyp: Bericht; E-Book
  • Titel: Wild Bootstrap Inference for Wildly Different Cluster Sizes
  • Beteiligte: MacKinnon, James G. [Verfasser:in]; Webb, Matthew D. [Verfasser:in]
  • Erschienen: Kingston (Ontario): Queen's University, Department of Economics, 2014
  • Sprache: Englisch
  • Schlagwörter: CRVE ; C23 ; panel data ; cluster wild bootstrap ; C21 ; grouped data ; placebo laws ; clustered data ; difference in differences ; C15 ; effective number of clusters
  • Entstehung:
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  • Beschreibung: The cluster robust variance estimator (CRVE) relies on the number of clusters being large. The precise meaning of 'large' is ambiguous, but a shorthand 'rule of 42' has emerged in the literature. We show that this rule depends crucially on the assumption of equal-sized clusters. Monte Carlo evidence suggests that rejection frequencies at the five percent level can be more than twice the desired size when a dataset has 50 clusters proportional to the populations of the US states. In contrast, using a cluster wild bootstrap procedure for the same dataset usually results in very accurate rejection frequencies. We also show that, when the test regressor is a dummy variable, both conventional and bootstrap tests perform badly when the proportion of clusters treated is very small or very large. A third set of simulations uses placebo laws to see whether similar results hold in a difference-in-differences framework.
  • Zugangsstatus: Freier Zugang