Publication Type
Working Paper
Version
acceptedVersion
Publication Date
8-2024
Abstract
We study the gradient wild bootstrap-based 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 the Wald inference, we show that our wild bootstrap Wald test, with or without studentization using the cluster-robust covariance estimator (CRVE), controls size asymptotically up to a small error as long as the parameter of endogenous variable is strongly identified in at least one of the clusters. We further show that the wild bootstrap Wald test with CRVE studentization is more powerful for distant local alternatives than that without. Last, we develop a wild bootstrap Anderson-Rubin (AR) test for the weak-identification-robust inference. We show it controls size asymptotically up to a small error, even under weak or partial identification for all clusters. We illustrate the good finite-sample performance of the new inference methods using simulations and provide an empirical application to a well-known dataset about US local labor markets.
Keywords
Gradient wild bootstrap, Weak instruments, Clustered data, Randomization test, Instrumental variable quantile regression
Discipline
Econometrics | Multivariate Analysis | Numerical Analysis and Scientific Computing
Research Areas
Econometrics
First Page
1
Last Page
74
Citation
WANG, Wenjie and ZHANG, Yichong.
Gradient wild bootstrap for instrumental variable quantile regressions with weak and few clusters. (2024). 1-74.
Available at: https://ink.library.smu.edu.sg/soe_research/2788
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Included in
Econometrics Commons, Multivariate Analysis Commons, Numerical Analysis and Scientific Computing Commons
