Bootstrap inference under cross‐sectional dependence

B-Tier
Journal: Quantitative Economics
Year: 2023
Volume: 14
Issue: 2
Pages: 511-569

Authors (4)

Timothy G. Conley (University of Western Ontario) Sílvia Gonçalves (not in RePEc) Min Seong Kim (not in RePEc) Benoit Perron (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper, we introduce a method of generating bootstrap samples with unknown patterns of cross‐ sectional/spatial dependence, which we call the spatial dependent wild bootstrap. This method is a spatial counterpart to the wild dependent bootstrap of Shao (2010) and generates data by multiplying a vector of independently and identically distributed external variables by the eigendecomposition of a bootstrap kernel. We prove the validity of our method for studentized and unstudentized statistics under a linear array representation of the data. Simulation experiments document the potential for improved inference with our approach. We illustrate our method in a firm‐level regression application investigating the relationship between firms' sales growth and the import activity in their local markets using unique firm‐level and imports data for Canada.

Technical Details

RePEc Handle
repec:wly:quante:v:14:y:2023:i:2:p:511-569
Journal Field
General
Author Count
4
Added to Database
2026-01-25