Wild bootstrap for instrumental variable regressions with weak and few clusters

• Main Authors: WANG, Wenjie, ZHANG, Yichong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Wild Bootstrap; Weak Instrument; Clustered Data; Randomization Test; InstrumentalVariable Quantile Regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2497; https://ink.library.smu.edu.sg/context/soe_research/article/3496/viewcontent/wild_bootstrap.pdf
• Institution: Singapore Management University

We study the wild bootstrap inference for instrumental variable (quantile) 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. For subvector inference, we show that...