Wild bootstrap inference for instrumental variables regressions with weak and few clusters

• Main Authors: WANG, Wenjie, ZHANG, Yichong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2024
• Subjects: Clustered data; Randomization test; Weak instrument; Wild bootstrap; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2741; https://ink.library.smu.edu.sg/context/soe_research/article/3740/viewcontent/Wildbootstrap_clusters_sv.pdf
• Institution: Singapore Management University

We study the wild bootstrap inference for instrumental variable regressions under an alternative asymptotic framework that the number of independent clusters is fixed, the size of each cluster diverges to infinity, and the within cluster dependence is sufficiently weak. We first show that the wild b...