A Score Based Approach to Wild Bootstrap Inference

Journal of Econometric Methods

Volumn 1, Issue 1, 2012, Pages 23-41

  Kline, Patrick ^a   Santos, Andres ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

clustered data.; robust inference; wild bootstrap

Indexed keywords

EID: 84885936728     PISSN: None     EISSN: 21566674     Source Type: Journal    
DOI: 10.1515/2156-6674.1006     Document Type: Article

References (44)

1. Andrews, D. W. K. (2002): "Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators," Econometrica, 70, 119-162.
2. Barbe, P. and P. Bertail (1995): The Weighted Bootstrap, New York: Springer-Verlag.
3. Bertrand, M., E. Duflo, and S. Mullainathan (2004): "How much should we trust differences in differences estimates?" Quarterly Journal of Economics, 119, 249-275.
4. Bhatia, R. (1997): Matrix Analysis, New York: Springer.
5. Cameron, A. C., J. B. Gelbach, and D. L. Miller (2008): "Bootstrapbased improvements for inference with clustered errors," Review of Economics and Statistics, 90, 414-427.
6. Cameron, A. C. and P. K. Trivedi (2005): Microeconometrics-Methods and Applications, New York: Cambridge University Press.
7. Card, D. and D. R. Hyslop (2005): "Estimating the effects of a time-limited earnings subsidy for welfare-leavers," Econometrica, 73, 1723-1770.
8. Cavaliere, G. and A. M. R. Taylor (2008): "Bootstrap unit root tests for time series with nonstationary volatility," Econometric Theory, 24, 43-71.
9. Chatterjee, S. and A. Bose (2005): "Generalized bootstrap for estimating equations," Annals of Statistics, 33, 414-436.
10. Chesher, A. (1984): "Testing for neglected heterogeneity," Econometrica, 52, 865-872.
11. Chesher, A. (1995): "A mirror image invariance for m-estimators," Econometrica, 63, 207-211.
12. Davidson, R. and E. Flachaire (2008): "The wild bootstrap, tamed at last," Journal of Econometrics, 146, 162-169.
13. Davidson, R. and J. G. MacKinnon (1999a): "Bootstrap testing in nonlinear models," International Economic Review, 40, 487-508.
14. Davidson, R. and J. G. MacKinnon (1999b): "The size distortion of bootstrap tests," Econometric Theory, 15, 361-376.
15. Davidson, R. and J. G. MacKinnon (2004): Econometric Theory and Methods, New York, Oxford: Oxford University Press.
16. Davidson, R. and J. G. MacKinnon (2010): "Wild bootstrap tests for iv regression," Journal of Business and Economic Statistics, 28, 128-144.
17. Donald, S. G. and K. Lang (2007): "Inference with differences-indifferences and other panel data," Review of Economics and Statistics, 89, 221-233.
18. Efron, B. (1979): "Bootstrap methods: Another look at the jacknife," The Annals of Statistics, 7, 1-26.
19. Freedman, D. A. (1981): "Bootstrapping regression models," The Annals of Statistics, 9, 1218-1228.
20. Hall, P. (1992): The Bootstrap and Edgeworth Expansion, New York: Springer-Verlag.
21. Hardle, W. and E. Mammen (1993): "Comparing nonparametric versus parametric regression fits," The Annals of Statistics, 21, 1926-1947.
22. Horowitz, J. L. (1994): "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, 61, 395-411.
23. Horowitz, J. L. (1997): "Bootstrap methods in econometrics: Theory and numerical performance," in D. M. Kreps and K. F. Wallis, eds., Advances in Economics and Econometrics: Theory and Applications, Seventh World Congress, volume 3, Cambridge University Press.
24. Horowitz, J. L. (2001): "The bootstrap," in J. J. Heckman and E. Leamer, eds., Handbook of Econometrics, volume 5, Elsevier, chapter 52.
25. Hu, F. and J. D. Kalbfleisch (2000): "The estimating function bootstrap," The Canadian Journal of Statistics, 28, 449-481.
26. Hu, F. and J. V. Zidek (1995): "A bootstrap based on the estimating equations of the linear model," Biometrika, 82, 263-275.
27. Kaido, H. and A. Santos (2011): "Asymptotically efficient estimation of models defined by convex moment inequalities," Working paper, University of California-San Diego.
28. Kline, P. and A. Santos (2012): "Higher order properties of the wild bootstrap under misspecification," Working paper, University of California-Berkeley.
29. Liu, R. Y. (1988): "Bootstrap procedures under some non-i.i.d. models," The Annals of Statistics, 16, 1696-1708.
30. Ma, S. and M. R. Kosorok (2005): "Robust semiparametric m-estimation and the weighted bootstrap," Journal of Multivariate Analysis, 96, 190-217.
31. Mammen, E. (1993): "Bootstrap and wild bootstrap for high dimensional linear models," The Annals of Statistics, 21, 255-285.
32. McCall, B. P. (1994): "Specification diagnostics for duration models: A martingale approach," Journal of Econometrics, 60, 293-312.
33. Newey, W. K. (1985a): "Generalized method of moments specifcation testing," Journal of Econometrics, 29, 229-256.
34. Newey, W. K. (1985b): "Maximum likelihood specification testing and conditional moment tests," Econometrica, 53, 1047-1070.
35. Newey,W. K. and D. L. McFadden (1994): "Large sample estimation and hypothesis testing," in R. F. Engle and D. L. McFadden, eds., Handbook of Econometrics, volume IV, Elsevier Science B.V., 2113-2245.
36. Tauchen, G. (1985): "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, 30, 415-443.
37. van der Vaart, A. (1999): Asymptotic Statistics, New York: Cambridge University Press.
38. van der Vaart, A. W. and J. A. Wellner (1996): Weak Convergence and Empirical Processes: with Applications to Statistics, New York: Springer.
39. White, H. (1982): "Maximum likelihood estimation of misspecified models," Econometrica, 50, 1-25.
40. White, H. (1994): Estimation, Inference, and Specification Analysis, New York: Cambridge University Press.
41. Wooldridge, J. (2003): "Cluster-sample methods in applied econometrics," American Economic Review, 93, 133-138.
42. Wooldridge, J. M. (2002): Econometric Analysis of Cross Section and Panel Data, Cambridge: The MIT Press.
43. Wu, C. F. J. (1986): "Jacknife, bootstrap, and other resampling methods in regression analysis," Annals of Statistics, 14, 1261-1295.
44. You, J. and G. Chen (2006): "Wild bootstrap estimation in partially linear models with heteroscedasticity," Statistics and Probability Letters, 76, 340-348.