boottest.pkg

d 'BOOTTEST': module to provide fast execution of the wild bootstrap with null imposed
d
d  boottest is a post-estimation command that offers fast execution
d of the wild bootstrap (Wu 1986) with null imposed, as recommended
d by Cameron, Gelbach, and Miller (2008) for estimates with
d clustered standard errors and few clusters. It also performs the
d “score bootstrap” (Kline and Santos 2012), which adapts the
d wild approach to Maximum Likelihood estimators. Two wrappers,
d waldtest and scoretest, give easy access to the classical Wald
d (1943) and Rao (1948) score/Lagrange multiplier tests. boottest
d works after regress, cnsreg, ivreg, ivregress, ivreg2 and most
d Stata ML-based estimation commands. boottest offers inference
d based on multi-way clustering after many Stata estimation
d commands that do not otherwise support it. When bootstrapping, it
d offers a choice of Rademacher, Mammen (1993), Webb (2014), and
d standard normal weights. boottest requires Stata version 11.2 or
d later and runs fastest in version 13 or later. 
d
d KW: wild bootstrap
d KW: Cameron
d KW: Gelbach
d KW: Miller
d KW: score bootstrap
d KW: Rao LM test
d KW: multi-way clustering
d
d Requires: Stata version 11.2
d
d Author: David Roodman
d Support: email david@@davidroodman.com
d
f boottest.ado
f boottest.mata
f boottest.sthlp
f artest.ado
f scoretest.ado
f waldtest.ado
f lboottest.mlib