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Chapter 2
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
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 1 : Double resampling bootstrap for the mean of a
panel
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 1 : Double resampling bootstrap for the mean of a
panel
Chapter 2 : Bootstrap for panel regression models with
random effects
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 1 : Double resampling bootstrap for the mean of a
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
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.
...
... ... .. ...
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
Why do Statisticians and Econometricians use bootstrap ?
The true probability distribution of a test statistic is rarely
known in finite sample.
Chapter 3
Chapter 1
Chapter 2
Bootstrap Methods
Why do Statisticians and Econometricians use bootstrap ?
The true probability distribution of a test statistic is rarely
known in finite sample.
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
Why do Statisticians and Econometricians use bootstrap ?
The true probability distribution of a test statistic is rarely
known in finite sample.
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
Chapter 3
Chapter 1
Chapter 2
...
... ... .. ...
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.
=
...
... ... .. ...
yN1 yN2 .. ... yNT
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.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
=
...
yi1 2
...
...
yi1 T
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.
yi1 1
y11 y12 ... ... y1T
y21 y22 ... ... y2T
yi2 1
=
...
yi1 2
yi2 2
...
...
...
...
yi1 T
yi2 T
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.
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
Cross-sectional Resampling
Cross - sectional Resampling : Resample cross-sectional units.
Application of original i.i.d bootstrap in cross-section
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
Cross-sectional Resampling
Cross - sectional Resampling : Resample cross-sectional units.
Application of original i.i.d bootstrap in cross-section
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
y
=
y
2t1
21
Y =
...
(N,T )
=y
yN1
Nt1
=y
y12
1t2
y22 = y2t2
...
=y
yN2
Nt2
... y1T
... y2T
..
... yNT
= y1tT
= y2tT
...
= yNtT
block 2
block K
Chapter 1
Chapter 2
Chapter 3
...
yN1 = yiN t1
= y
y12
i1 t2
= y
y22
i2 t2
...
= y
yN2
iN t2
... y1T
... y2T
..
... yNT
= yi1 tT
= yi2 tT
...
= yiN tT
Chapter 1
Chapter 2
Chapter 3
Var
1
Var y cros
= Var z + 1
K
1
Var y bl
+ 1
N
Chapter 1
Chapter 2
Var
Var
1
y
Var y cros
>
1
K
1
>
y
1
Var y bl
N
Chapter 3
Chapter 1
Chapter 2
Chapter 3
Interpretation
For N and K=T/l large enough
cros
CI1
CI1
bl
CI1
CI1
Chapter 1
Chapter 2
Chapter 3
Interpretation
For N and K=T/l large enough
cros
CI1
CI1
bl
CI1
CI1
Chapter 1
Chapter 2
Chapter 3
Interpretation
For N and K=T/l large enough
cros
CI1
CI1
bl
CI1
CI1
Chapter 1
Chapter 2
Chapter 3
yit = + it
yit = + i + it
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
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
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
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
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
+ 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
11 ...
21 ...
F1 ... FT +
... ..
N1 ...
1T
2T
...
NT
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
Consistent
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 Bootstrap (DRB) method dominates
resampling methods in one dimension, in the sense that the
set of DGP for which DRB is valid is greater.
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
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.
The double resampling is valid under general conditions on
cross-sectional and temporal heterogeneity as well as
cross-sectional dependence.
Resampling only in the cross section dimension is not valid in
the presence of temporal heterogeneity
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.
The double resampling is valid under general conditions on
cross-sectional and temporal heterogeneity as well as
cross-sectional dependence.
Resampling only in the cross section dimension is not valid in
the presence of temporal heterogeneity
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
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.
The double resampling is valid under general conditions on
cross-sectional and temporal heterogeneity as well as
cross-sectional dependence.
Resampling only in the cross section dimension is not valid in
the presence of temporal heterogeneity
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
Chapter 1
Chapter 2
Chapter 3
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
Chapter 1
Chapter 2
Chapter 3
Chapter 1
Chapter 2
Chapter 3
Theoretical contribution
Chapter 1
Chapter 2
Chapter 3
Theoretical contribution
Chapter 1
Chapter 2
Chapter 3
Theoretical contribution
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
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
Chapter 3
Chapter 1
Chapter 2
Chapter 3
BDM Exercise
Chapter 1
Chapter 2
BDM Exercise
Chapter 3
Chapter 1
Chapter 2
BDM Exercise
Chapter 3
Chapter 1
Chapter 2
Chapter 3
BDM EXERCISE
Y st = s + t + Ist + st
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
Y st = s + t + Ist + st
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
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
Chapter 1
Chapter 2
THANKS !
Chapter 3