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PUBLIC TALK: STATISTICS SEMINAR

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Today's date is Tuesday, August 04, 2020
STATISTICS SEMINAR : Bootstrap Methods for Inference with Cluster-Sample IV Models Other events...
Abstract: Microeconomic data often have within-cluster dependence. This dependence affects standard error estimation and inference in regression models, including the instrumental variables model. Standard corrections assume that the number of clusters is large, but when this is not the case, Wald tests can either over-reject or under-reject and weak instrument robust tests can over-reject. We examine the use of bootstrap methods to construct appropriate critical values for these tests when the number of clusters is small. We find that a variant of the wild bootstrap performs well and reduces absolute size bias significantly, even with a small number of clusters. We also provide guidance in the choice among possible weak instrument robust tests when data have cluster dependence. These results should extend to fixed effect panel data models.

All are welcome to attend the seminar No RSVP required. Contact :Gopalan Nair (08) 6488 3377; [email protected]
Speaker(s) Leandro Magnusson Economics Department, Business School, The University of Western Australia
Location Mathematics Lecture Room 3 (G.02, Ground floor of Mathematics Building (entrance from the James oval side)
Contact Stephanie Gawne <[email protected]> : (08) 6488 3377
Start Thu, 02 Aug 2012 14:00
End Thu, 02 Aug 2012 15:00
Submitted by Stephanie Gawne <[email protected]>
Last Updated Fri, 27 Jul 2012 11:48
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