Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models

James MacKinnon, Morten Nielsen and Matthew Webb

No 1515, Working Paper from Economics Department, Queen's University

Abstract: We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the simplest of these, but also the most computationally demanding, involves jackknifing at the cluster level. We also propose a linearized version of the cluster-jackknife variance matrix estimator as well as linearized versions of the wild cluster bootstrap. The linearizations are based on empirical scores and are computationally efficient. Throughout we use the logit model as a leading example. We also discuss a new Stata software package called logitjack which implements these procedures. Simulation results strongly favor the new methods, and two empirical examples suggest that it can be important to use them in practice.

Keywords: logit model; logistic regression; clustered data; grouped data; cluster-robust variance estimator; CRVE; cluster jackknife; robust inference; wild cluster bootstrap; linearization (search for similar items in EconPapers)
JEL-codes: C12 C15 C21 C23 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2024-05
New Economics Papers: this item is included in nep-dcm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1515.pdf First version 2024 (application/pdf)

Related works:
Working Paper: Cluster-robust jackknife and bootstrap inference for binary response models (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1515

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().