Files for MacKinnon, Nielsen, and Webb (Working Paper 1386, 2017)

This directory contains a .do file to replicate the empirical analysis of

James G. MacKinnon, Morten . Nielsen, and Matthew D. Webb, "Bootstrap and asymptotic inference with multiway clustering", QED Working Paper No. 1386, 2017.

To get this to run, one needs to set the PATH at the top to where the dataset is stored. Or open the dataset first and then hit run.

This program has several features at the moment. It allows users to calculate CRVE-M P values using the right number of degrees of freedom, unlike cgmreg.ado. It also allows users to specify which clustering variable to use for the bootstrap DGP. Also, users can choose between the 2- point (Rademacher) and the 6-point distribution.

There is a block of code at the bottom which allows users to generate all the CRVE-M and bootstrap P values from Table 2. However, it would take several days to estimate them with B=9999. The authors hope to speed up the code in a future release.

  • TABLE2.dta