R: Wild Cluster Bootstrapped p-Values For For Regression With...
cluster.wild.ivreg
R Documentation
Wild Cluster Bootstrapped p-Values For For Regression With Instrumental Variables
Description
This software estimates p-values using wild cluster bootstrapped t-statistics for instrumental variables regression models (Cameron, Gelbach, and Miller 2008). Residuals are repeatedly re-sampled by cluster to form a pseudo-dependent variable, a model is estimated for each re-sampled data set, and inference is based on the sampling distribution of the pivotal (t) statistic. Users may choose whether to impose the null hypothesis for independent variables; the null is never imposed for the intercept or any model that includes factor variables. Confidence intervals are only reported when the null hypothesis is not imposed.
A linear (identity link) model estimated using ivreg.
dat
The data set used to estimate mod.
cluster
A formula of the clustering variable.
ci.level
What confidence level should CIs reflect? (Note: only reported when impose.null == FALSE).
impose.null
Should we impose the null Ho?
boot.reps
The number of bootstrap samples to draw.
report
Should a table of results be printed to the console?
prog.bar
Show a progress bar of the bootstrap (= TRUE) or not (= FALSE).
Value
A list with the elements
p.values
A matrix of the estimated p-values.
ci
A matrix of confidence intervals (if null not imposed).
Note
Code to estimate clustered standard errors by Mahmood Arai: http://thetarzan.wordpress.com/2011/06/11/clustered-standard-errors-in-r/. Cluster SE degrees of freedom correction = (M/(M-1)) with M = the number of clusters.
Author(s)
Justin Esarey
References
Cameron, A. Colin, Jonah B. Gelbach, and Douglas L. Miller. 2008. "Bootstrap-Based Improvements for Inference with Clustered Errors." The Review of Economics and Statistics 90(3): 414-427. <DOI:10.1162/rest.90.3.414>.