Bootstrap For Panel Data (PPT), Hounkannounon

Chapter 1
Chapter 2
Bootstrap for Panel Data Models with an

Application to the Evaluation of Public
Policies
Bertrand G. B. Hounkannounon
Universite de Montreal
Ph.D. defense
Chapter 3
Chapter 1
Chapter 2
ACKNOWLEDGMENT
Chapter 3
Chapter 1
Chapter 2
THESIS
The purpose of this thesis is to develop bootstrap methods for
panel data models, to prove their validity and apply them in the
framework of evaluation of public policies.
Chapter 3
Chapter 1
Chapter 2
THESIS
Chapter 1 : Double resampling bootstrap for the mean of a
panel
Chapter 3
Chapter 1
Chapter 2
THESIS
panel
Chapter 2 : Bootstrap for panel regression models with
random effects
Chapter 3
Chapter 1
Chapter 2
THESIS
panel
Chapter 2 : Bootstrap for panel regression models with
random effects
Chapter 3 : Bootstrapping Differences-in-Differences
Estimates
Chapter 3
Chapter 1
Chapter 2
Chapter 3
Chapter 1 : Double resampling bootstrap for the

mean of a panel
The theoretical results and simulations are provided for the sample
mean.
Chapter 1
Chapter 2
Chapter 3
Panel Data
Panel data refers to data sets where observations on individual
units (such as households, firms or countries) are available over
several time periods.
The availability of two dimensions (cross section and time series)
allows for the identification of effects that could not be accounted
for otherwise.
y11 y12 ... ... y1T

y21 y22 ... ... y2T
...
... ... .. ...
yN1 yN2 .. ... yNT
yit is the cross-sectional i 0 s observation at period t.
Chapter 1
Chapter 2
Bootstrap Methods
Why do Statisticians and Econometricians use bootstrap ?
Chapter 3
Chapter 1
Chapter 2
Bootstrap Methods
The true probability distribution of a test statistic is rarely
known in finite sample.
Chapter 3
Chapter 1
Chapter 2
Bootstrap Methods
Avoid Asymptotic fiction: Asymptotic theory uses the
behavior of the statistic at infinity as an approximation.
Bootstrap methods can provide a more accurate inference.
Chapter 3
Chapter 1
Chapter 2
Bootstrap Methods
Avoid Asymptotic fiction: Asymptotic theory uses the
behavior of the statistic at infinity as an approximation.
Bootstrap methods can provide a more accurate inference.
Possibility to make weak structure hypothesis.
Simulation of nuisance parameters.
Multiple asymptotic distributions in Large Panels (N and T
are both important) : Multiple asymptotic fictions.
Chapter 3
Chapter 1
Chapter 2
Bootstrap Methods
The method consists in drawing many random samples that

resembles as much as possible and estimating the distribution of
the object of interest over these random samples.
Resample the original data, to create pseudo data.
Use estimations on these pseudo data to make inference.
Chapter 3
Chapter 1
Chapter 2
Resampling Methods for Panel Data
How to bootstrap panel data ?
y11 y12 ... ... y1T

y21 y22 ... ... y2T
...
... ... .. ...
yN1 yN2 .. ... yNT
Chapter 3
Chapter 1
Chapter 2
Chapter 3
Cross-sectional Resampling
Cross - sectional Resampling : Resample cross-sectional units.
Application of original i.i.d bootstrap in cross-section
dimension.
y11 y12 ... ... y1T

y21 y22 ... ... y2T
=
...
... ... .. ...
yN1 yN2 .. ... yNT
Chapter 1
Chapter 2
Chapter 3
dimension.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
=
...
... ... .. ...

yN1 yN2 .. ... yNT
yi1 2
...
...
yi1 T
Chapter 1
Chapter 2
Chapter 3
dimension.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
yi2 1
=
...
... ... .. ...

yN1 yN2 .. ... yNT
yi1 2
yi2 2
...
...
...
...
yi1 T
yi2 T
Chapter 1
Chapter 2
Chapter 3
dimension.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
yi2 1
=
...
...
... ... .. ...
yN1 yN2 .. ... yNT
yi1 2
yi2 2
...
...
...
...
...
...
...
yi1 T
yi2 T
...
Chapter 1
Chapter 2
Chapter 3
dimension.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
yi2 1
=
...
...
... ... .. ...
yN1 yN2 .. ... yNT
yiN 1
yi1 2
yi2 2
...
yiN 2
...
...
...
...
...
...
...
...
yi1 T
yi2 T
...
yiN T
Chapter 1
Chapter 2
Chapter 3
dimension.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
yi2 1
=
...
...
... ... .. ...
yN1 yN2 .. ... yNT
yiN 1
yi1 2
yi2 2
...
yiN 2
...
...
...
...
...
...
...
...
yi1 T
yi2 T
...
yiN T
(i1 , i2 , .., iN ) by i.i.d. drawing with replacement from (1, 2, ..., N).
A statistical unit can appear 0, 1, 2, 3... times in a pseudo dataset.
Chapter 1
Chapter 2
Chapter 3
Block Bootstrap Resampling

Block Bootstrap Resampling : Accommodation of traditional
Time series block bootstrap. Resample blocks of time periods
in order to capture temporal dependence.
=y
y11
1t1
y
=
y
2t1
21
Y =
...
(N,T )
=y
yN1
Nt1
=y
y12
1t2
y22 = y2t2
...
=y
yN2
Nt2
... y1T
... y2T
..
... yNT
= y1tT
= y2tT
...
= yNtT
(t1 , t2 , ., tT ) taking the form :

1 , 1 + 1, ., 1 + l 1, 2 , 2 + 1, ., 2 + l 1,..,K , K + 1, ., K + l 1
|
{z
} |
{z
} |
{z
}
block 1
block 2
block K
where the vector of indices (1 , 2 , ..., K ) , K = [T /l] is obtained

by i.i.d. drawing with replacement from (1, 2, ....., T )
Chapter 1
Chapter 2
Chapter 3
Double Resampling Bootstrap
Double Resampling Bootstrap : Combination of block and

cross-sectional resamplings.
= y
y11
i1 t1
y = yi2 t1
21
=
...
yN1 = yiN t1
= y
y12
i1 t2
= y
y22
i2 t2
...
= y
yN2
iN t2
... y1T
... y2T
..
... yNT
= yi1 tT
= yi2 tT
...
= yiN tT
where the indices (i1 , i2 , ....., iN ) and (t1 , t2 , ., tT ) are chosen as

described previously.
Chapter 1
Chapter 2
Chapter 3
Double Resampling Bootstrap Variance
Var

1

Var y cros
= Var z + 1
K

1

Var y bl
+ 1
N
Finite sample property, holding without any assumption

about yit .
Chapter 1
Chapter 2
Double Resampling Bootstrap Variance
Var
Var

1

y
Var y cros
>
1
K

1

>
y
1
Var y bl
N

The two inequalities mean that the double resampling bootstrap

induces a greater variance than the cross-sectional resampling
bootstrap and the block resampling bootstrap.
Chapter 3
Chapter 1
Chapter 2
Chapter 3
Interpretation
For N and K=T/l large enough
cros
CI1
CI1
bl
CI1
CI1
If the Double Resampling Bootstrap (DRB) CI rejects the Null

Hypothesis, there is NO CHANCE for one dimension
bootstrap CI to Not Reject it.
Chapter 1
Chapter 2
Chapter 3
Interpretation
cros
CI1
CI1
bl
CI1
CI1

One dimension bootstrap methods can reject the Null
hypothesis, and the DRB CI not reject it.
Chapter 1
Chapter 2
Chapter 3
Interpretation
cros
CI1
CI1
bl
CI1
CI1

One dimension bootstrap methods can reject the Null
hypothesis, and the DRB CI not reject it.
The Double Resampling Bootstrap dominates the resampling
methods in one dimension, in the sense that It is valid for
more processes.
Chapter 1
Chapter 2
Chapter 3
Panel Data Models

IID panel
yit = + it
Cross. one-way ECM
yit = + i + it
Temp. one-way ECM
yit = + ft + it
Two-way ECM
yit = + i + ft + it
Factor model
yit = + i Ft + it
yit = + i + i Ft + it
Chapter 1
Chapter 2
Chapter 3
Consistency
A bootstrap method is consistent if :

sup P
M y y x P
M y x
xR
NT
with M {N, T , NT } .
Intuition
: The behavior of y y is similar to the behavior of
y when the sample size increases.
Chapter 1
Chapter 2
Chapter 3
Consistency
1
2
= +
...
N
1
2
+
...
N

... 1
f1 ... fT
... 2
+ f1 ... fT
... ... ...

.. ...
f1 ... fT
... N
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
The cross-sectional resampling is also equivalent to i.i.d.

resampling on (1 , .., N ) . and treats (f1 , ..., fT ) and (F1 , ...., FT )
as constants
yit,cros
= + i + ft + i Ft + it,cros
Chapter 1
Chapter 2
Chapter 3
Consistency
1
2
= +
...
N
1
2
+
...
N

... 1
f1 ... fT
... 2
+ f1 ... fT
... ... ...

.. ...
f1 ... fT
... N
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
The block resampling, is equivalent to block resampling on

(f1 , .., fT ) and (F1 , ..., FT )and treats (1 , .., N ) and (1 , .., N ) as
constants.
+ F +
yit,bl
= + i + ft,bl
i t,bl
it,bl
Chapter 1
Chapter 2
Chapter 3
Consistency
1
2
= +
...
N
1
2
+
...
N

... 1
f1 ... fT
... 2
+ f1 ... fT
... ... ...

.. ...
f1 ... fT
... N
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
The double resampling is equivalent to i.i.d. resampling on

(1 , ...., N ) and (1 , ...., N ) and block resampling on (f1 , ...., fT )
and (F1 , ...., FT ) .
+ F +
yit = + i + ft,bl
i t,bl
it
Chapter 1
Chapter 2
Chapter 3
Consistency
yit,cros
yit,bl
= + i + ft + i Ft + it,cros
= + i + ft,bl
+ i Ft,bl
+ it,bl
yit = + i + ft,bl
+ i Ft,bl
+
it

= ( ) + F F + [inter ]

y bl y =
f bl f + F bl F + [inter ]bl

y y = ( ) + f bl f + F bl F +
y cros y
Chapter 1
Chapter 2
Chapter 3
Summary of Bootstrap Consistency

Cross-sect.
Resampling
Cross. one-way ECM
yit = + i + it
Consistent
Temp. one-way ECM

yit = + ft + it
Double
Resampling
Consistent
Consistent
Two-way ECM
yit = + i + ft + it
Factor model
yit = + i + i Ft + it
Block
Resampling
Consistent
Consistent
Consistent
Consistent
Chapter 1
Chapter 2
Chapter 3
Simulations
(N, T ) (10, 10)
Cross
Bl(1)
Bl(2)
2Res(1)
2Res(2)
4.5
5.2
49.1
66.8
63.1
5.4
4.7
5.0
5.0
4.8
13.8
17.2
24.2
4.3
50.1
5.3
10.1
22.2
5.2
7.5
11.3
29.3
34.0
14.0
16.9
28.4
4.7
40.9
5.2
6.5
12.8
5.5
5.4
7.5
24.3
29.5
9.9
12.9
17.3
1.0
5.0
5.0
11.3
24.1
1.0
1.2
2.3
4.2
4.2
5.6
7.1
14.1
2.0
5.1
6.5
9.4
16.7
1.3
1.6
2.0
4.3
4.9
5.2
7.5
12.7
yit = + it
yit = + i + it
Temp ECM
yit = +
ft + it
Factor
yit = +
i Ft + it
2-ECM
yit = + i
ft + it
0.00
0.25
0.50
0.00
0.25
0.50
0.95
1.00
0.00
0.25
0.50
Chapter 1
Chapter 2
Chapter 3
Simulations
(N, T ) (30, 30)
Cross
Bl(2)
Bl(3)
2Res(2)
2Res(3)
5.0
4.8
71.6
77.0
83.6
4.6
4.4
5.7
5.0
4.6
13.1
23.0
30.3
4.8
71.3
69.4
9.3
15.3
4.7
6.0
9.2
38.8
65.0
13.6
18.0
23.0
5.3
68.7
5.3
6.9
13.2
5.0
5.6
8.3
39.0
57.9
14.0
12.6
19.2
1.1
4.7
5.2
9.9
15.4
0.8
1.3
1.3
5.4
5.0
4.6
7.1
12.1
1.3
4.9
5.2
7.5
14.3
1.2
1.1
1.2
4.1
5.5
5.0
6.9
10.8
yit = + it
yit = + i + it
Temp ECM
yit = +
ft + it
Factor
yit = +
i Ft + it
2-ECM
yit = + i
ft + it
0.00
0.25
0.50
0.00
0.25
0.50
0.95
1.00
0.00
0.25
0.50
Chapter 1
Chapter 2
Chapter 3
Simulations
(N, T ) (60, 60)
Cross
Bl(3)
Bl(5)
2Res(3)
2Res(5)
5.6
4.4
78.3
83.7
88.6
4.8
5.0
4.7
5.2
5.2
15.7
22.8
30.8
4.5
79.7
5.7
7.8
12.5
5.1
6.0
7.2
40.3
73.1
14.6
15.1
20.0
5.2
77.7
5.9
6.1
8.5
4.5
5.4
5.6
33.2
67.3
14.8
12.8
12.7
0.8
4.2
5.8
7.8
12.8
0.5
1.3
1.0
3.7
5.4
4.7
7.4
11.7
1.0
4.8
6.1
6.3
8.7
0.9
0.9
1.4
3.9
4.9
5.4
5.3
8.0
yit = + it
yit = + i + it
Temp ECM
yit = +
ft + it
Factor
yit = +
i Ft + it
2-ECM
yit = + i
ft + it
0.00
0.25
0.50
0.00
0.25
0.50
0.95
1.00
0.00
0.25
0.50
Chapter 1
Chapter 2
Chapter 3
Conclusion
The Double Resampling Bootstrap (DRB) method dominates
resampling methods in one dimension, in the sense that the
set of DGP for which DRB is valid is greater.
Chapter 1
Chapter 2
Chapter 3
Conclusion
The double resampling is valid under general conditions on
cross-sectional and temporal heterogeneity as well as
cross-sectional dependence.
Chapter 1
Chapter 2
Chapter 3
Conclusion
Resampling only in the cross section dimension is not valid in
the presence of temporal heterogeneity
Chapter 1
Chapter 2
Chapter 3
Conclusion
Block resampling only in the time series dimension is not valid
in the presence of cross section heterogeneity.
Chapter 1
Chapter 2
Chapter 3
Conclusion
Block resampling only in the time series dimension is not valid
in the presence of cross section heterogeneity.
The bootstrap does not require the researcher to choose one
of several asymptotic approximations available for panel
models.
Chapter 1
Chapter 2
Chapter 3
Chap 2 : Bootstrap for panel regression models with

random effects
Extension to previous results to panel linear regression model.
yit = + Vi + Wt + Xit + it = Zit + it

it = i + ft + i Ft + uit
Chapter 1
Chapter 2
Chapter 3
Residuals based bootstrap

yit = Zit + it
Use OLS estimator of to get the residuals.
bit = yit Zit b
u
Resample the residuals to create pseudo data.
yit = Zit b + uit
Repeat in other to have many realizations of {Y , Z } and b
and use them to make inference.
Chapter 1
Chapter 2
Chapter 3
Pairs bootstrap
yit = Zit + it
Resample directly {Y , Z } to create pseudo data {Y , Z }.
Run OLS regression with {Y , Z } to have b
Repeat to have many realizations of b and use them to make
inference
Chapter 1
Chapter 2
Chapter 3
Bootstrap Validity

sup P
M b b x P
M b x
xRK
NT
o

N, T , NT

Intuition : The behavior of b b is similar to the behavior of

b when the sample size increases.
Chapter 1
Chapter 2
Chapter 3
Theoretical Related Literature

Kapetanios (2008) A bootstrap procedure for panel datasets
with many cross-sectional units : N-asymptotic theoretical
results with iid cross-sectional vector.
yit = + Vi + Xit + it
Chapter 1
Chapter 2
Chapter 3
Theoretical Related Literature

Kapetanios (2008) A bootstrap procedure for panel datasets
with many cross-sectional units : N-asymptotic theoretical
results with iid cross-sectional vector.
yit = + Vi + Xit + it
Goncalves (2010) The Moving Blocks Bootstrap for Panel

Regression Models with Individual Fixed Effects:
Accommodation of Moving Blocks Bootstrap to linear panel
models.
yit = Vi + Wt + Xit + it
Chapter 1
Chapter 2
Chapter 3
Theoretical contribution
We prove that of the Cross-section resampling bootstrap is

valid only for parameters associated with cross-section varying
regressors in the presence of random effects.
yit = + Vi + Wt + Xit + it
Chapter 1
Chapter 2
Chapter 3
We prove that the block resampling bootstrap is valid only for

parameters associated with time varying regressors the
presence of random effects.
Chapter 1
Chapter 2
Chapter 3
We prove that the double resampling bootstrap induces a

correct inference for all the vector of the parameters in the
presence of random effects.
Chapter 1
Chapter 2
Chapter 3
Simulations
2-way
ECM
i + ft + it
2-way ECM
with spatial
dependence
i + ft + i Ft + it
1
Vi
Wt
Xit
1
Vi
Wt
Xit
(N; T )
Cros.
31.4
12.6
58.5
26.3
27.0
12.7
45.9
18.4
=
Bloc.
34.4
59.4
12.2
28.7
35.8
53.8
11.0
24.1
(10; 10)
D-Res
9.4
6.0
9.9
7.0
9.9
9.5
6.8
5.5
Chapter 1
Chapter 2
Chapter 3
Simulations
2-way
ECM
i + ft + it
2-way ECM
with spatial
dependence
i + ft + i Ft + it
1
Vi
Wt
Xit
1
Vi
Wt
Xit
(N; T )
Cros.
25.2
8.1
67.3
26.4
23.8
7.8
60.8
21.4
=
Bloc.
24.4
67.5
7.8
27.1
25.4
59.8
8.6
19.8
(20; 20)
D-Res
8.9
6.9
7.2
5.5
8.5
6.4
6.7
5.7
Chapter 1
Chapter 2
Chapter 3
Simulations
2-way
ECM
i + ft + it
2-way ECM
with spatial
dependence
i + ft + i Ft + it
1
Vi
Wt
Xit
1
Vi
Wt
Xit
(N; T )
Cros.
26.0
8.7
73.8
24.4
24.2
6.8
68.6
20.5
=
Bloc.
23.8
73.8
7.3
28.2
22.5
65.2
7.4
21.2
(30; 30)
D-Res
6.5
5.2
4.7
5.8
6.7
6.0
5.9
5.5
Chapter 1
Chapter 2
Chapter 3
Simulations
2-way
ECM
i + ft + it
2-way ECM
with spatial
dependence
i + ft + i Ft + it
1
Vi
Wt
Xit
1
Vi
Wt
Xit
(N; T )
Cros.
24.3
5.5
78.2
24.8
22.6
6.0
77.3
19.5
=
Bloc.
20.5
81.6
5.2
25.3
20.9
73.2
5.2
20.4
(50; 50)
D-Res
6.0
5.5
5.6
5.4
6.0
5.8
4.7
4.9
Chapter 1
Chapter 2
Chapter 3
Chapter 3: Bootstrapping
Differences-in-Differences Estimates
How bootstrap method can help to avoid spurious findings in the

evaluation of public policies using panel data.
Double Resampling Bootstrap avoids size distortions and gives
more reliable evaluation of public policies
Chapter 1
Chapter 2
Chapter 3
Differences-in-Differences Estimation
Basic setup : Y outcome of interest
Two groups : Treatment group, Control group of statistical units,
Two periods before and after a public intervention.
The Differences-in-Differences (DD) estimator is :
= (y T ,2 y T ,1 ) (y U,2 y U,1 ) =
DD
y = 0 + 1 I2 + I + u
I2 is a time dummy variable, I is a binary program indicator.
By analogy, OLS estimator is called Differences-in-Differences
(DD) estimator, even in a more complex linear regression model.
Chapter 1
Chapter 2
Impact Evaluation Using Panel Data

General setup :Introduction of Control Variables X to avoid
selection bias, Several periods. The model becomes :
yit = Xit + Iit + uit
i = 1, 2, ....N; t = 1, 2, ....T
Typically its a linear panel data model : several statistical units
during several time periods.
Advantages : Robustness in time dimension, Possibility to
distinguish short term impact and long term impact.
Difficulties : Heterogeneities, temporal correlation, moderate
sample size (specially in time dimension).
Chapter 3
Chapter 1
Chapter 2
Chapter 3
BDM Exercise
Bertrand, Duflo and Mullainathan (QJE,2004) examines the

differences-in-differences estimator commonly used with panel data
to evaluate the impact of public policies.
Their empirical application uses panel data constructed from the
Current Population Survey (CPS) on wages of women in the 50
states, from 1979 to 1999.
Chapter 1
Chapter 2
BDM Exercise
Formally, consider the next model :

Yist = As + Bt + cXist + Ist + ist
Yist : outcome (wage), As : state effects, Bt : time effects
Ist : dummy intervention variable : Randomly generated
Chapter 3
Chapter 1
Chapter 2
BDM Exercise
Yist = As + Bt + cXist + Ist + ist

First regression on individual controls Xist (education and age)
Panel construction with mean of residuals by state and year.
Y st = s + t + Ist + st
Chapter 3
Chapter 1
Chapter 2
Chapter 3
BDM EXERCISE
Placebo public interventions are randomly generated across States
and Periods its impact measured on wages. By construction, no
impact should be found : = 0.
Intuition of BDM Exercise: Several Researchers evaluate
independently a public policy without real impact, using a correct
inference method, only 5% of the Researchers should conclude that
the public policy has a significant impact (Wrong answer).
Chapter 1
Chapter 2
Chapter 3
BDM Exercise
States
06
10
20
50
BDM-OLS
48.0
38.5
38.5
43.0
FGLS
.
.
.
24.0
BDM-BSP
43.5
22.5
13.5
6.5
Table 1 : BDM Simulations Results (Theoretical level 5%)
Several evaluations conclude to a significant impact when there is

no impact.
Dummy variables not enough to remove all the correlation
structure.
Parametric Assumptions for FGLS fail to correct the problem.
BDM bootstrap method (without rigorous theoretical justification).
Chapter 1
Chapter 2
Chapter 3
BDM Revisited
States
06
10
20
50
BDM
48.0
38.5
38.5
43.0
FGLS
24.0
BDM-BSP
43.5
22.5
13.5
6.5
Pair-BSP
17.1
13.3
8.1
6.5
D.Res.1
15.0
9.6
6.3
5.1
D.Res.2
4.9
5.3
5.1
5.1
Table 2 : Simulations Results(Theoretical level 5%)
BDM : BDM Fixed effects OLS

FGLS : Assume AR1 process for Error term
BDM-BSP : BDM Bootstrap
Pair-BSP : Correct Version of BDM Bootstrap (correct bootstrap
variance)
D.Res.1 : Double Resampling , Residuals based bootstrap
D.Res.2 : Double Resampling, Pairs bootstrap
Chapter 1
Chapter 2
THANKS !
Chapter 3

Bootstrap For Panel Data (PPT), Hounkannounon

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Bootstrap For Panel Data (PPT), Hounkannounon

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Chapter 1

Bootstrap for Panel Data Models with an

Chapter 1 : Double resampling bootstrap for the

y11 y12 ... ... y1T

The method consists in drawing many random samples that

Resampling Methods for Panel Data

How to bootstrap panel data ?

y11 y12 ... ... y1T

y11 y12 ... ... y1T

... ... .. ...

... ... .. ...

Block Bootstrap Resampling

(t1 , t2 , ., tT ) taking the form :

where the vector of indices (1 , 2 , ..., K ) , K = [T /l] is obtained

Double Resampling Bootstrap

Double Resampling Bootstrap : Combination of block and

where the indices (i1 , i2 , ....., iN ) and (t1 , t2 , ., tT ) are chosen as

Double Resampling Bootstrap Variance

Finite sample property, holding without any assumption

Double Resampling Bootstrap Variance

The two inequalities mean that the double resampling bootstrap

If the Double Resampling Bootstrap (DRB) CI rejects the Null

If the Double Resampling Bootstrap (DRB) CI rejects the Null

If the Double Resampling Bootstrap (DRB) CI rejects the Null

Panel Data Models

Cross. one-way ECM

Temp. one-way ECM

A bootstrap method is consistent if :

... ... ...

The cross-sectional resampling is also equivalent to i.i.d.

... ... ...

The block resampling, is equivalent to block resampling on

... ... ...

The double resampling is equivalent to i.i.d. resampling on

Summary of Bootstrap Consistency

Temp. one-way ECM

Chap 2 : Bootstrap for panel regression models with

Extension to previous results to panel linear regression model.

yit = + Vi + Wt + Xit + it = Zit + it

Residuals based bootstrap

Theoretical Related Literature

Theoretical Related Literature

Goncalves (2010) The Moving Blocks Bootstrap for Panel

We prove that of the Cross-section resampling bootstrap is

We prove that the block resampling bootstrap is valid only for

We prove that the double resampling bootstrap induces a

How bootstrap method can help to avoid spurious findings in the

Impact Evaluation Using Panel Data

Bertrand, Duflo and Mullainathan (QJE,2004) examines the

Formally, consider the next model :

Yist = As + Bt + cXist + Ist + ist

Table 1 : BDM Simulations Results (Theoretical level 5%)

Several evaluations conclude to a significant impact when there is

Table 2 : Simulations Results(Theoretical level 5%)

BDM : BDM Fixed effects OLS

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