arXiv 26 Jun 2025 · Econometrics
arXiv:2506.20972 · PDF · DOI · OpenAlex · Extracted main text
We propose a simple modification to the wild bootstrap procedure and establish its asymptotic validity for linear regression models with many covariates and heteroskedastic errors. Monte Carlo simulations show that the modified wild bootstrap has excellent finite sample performance compared with alternative methods that are based on standard normal critical values, especially when the sample size is small and/or the number of controls is of the same order of magnitude as the sample size.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cattaneo, M. D., M. Jansson, and W. K. Newey (2018) b): Inference in linear regression models with many covariates and heteroscedasticity | 0.909 | 12 | 6 | 75% |
| 2 | Jochmans, K (2022) Heteroscedasticity-robust inference in linear regression models with many covariates | 0.833 | 19 | 9 | 58% |
| 3 | Davidson, R. and J. G. MacKinnon (2010) Davidson-Mackinnon(2010)Wild bootstrap tests for IV regression | 0.644 | 2 | 2 | 100% |
| 4 | Wang, W. and M. Kaffo (2016) Bootstrap inference for instrumental variable models with many weak instruments | 0.644 | 2 | 2 | 100% |
| 5 | van der Vaart, A. and J. Wellner (1996) Weak Convergence and Empirical Processes: With Applications to Statistics | 0.511 | 2 | 2 | 50% |
| 6 | Cameron, A. C., J. B. Gelbach, and D. L. Miller (2008) Cameron(2008)Bootstrap-based improvements for inference with clustered errors | 0.405 | 1 | 1 | 100% |
| 7 | Dov\`, M.-S., A. B. Kock, and S. Mavroeidis (2024) A Ridge-Regularized Jackknifed Anderson-Rubin Test | 0.405 | 1 | 1 | 100% |
| 8 | Davidson, R. and E. Flachaire (2008) Davidson-Flachaire(2008)The wild bootstrap, tamed at last | 0.405 | 1 | 1 | 100% |
| 9 | Davidson, R. and J. G. MacKinnon (2008) Davidson-Mackinnon(2008)Bootstrap inference in a linear equation estimated by instrumental variables | 0.405 | 1 | 1 | 100% |
| 10 | Davidson, R. and J. G. MacKinnon (2014) Davidson-Mackinnon(2014b)Bootstrap confidence sets with weak instruments | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 35 scored citations.