A regime-adaptive projection wild bootstrap achieves uniform validity for two-way clustered regression inference across four feasible asymptotic regimes while permitting serial and spatial dependence.
Review of Financial Studies , volume=
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Develops asymptotic theory and bootstrap inference for the τ-quantile of cross-sectional individual coefficient distributions in panel data under stochastic and deterministic designs.
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Estimation and Inference for the $\tau$-Quantile of Individual Heterogeneous Coefficient
Develops asymptotic theory and bootstrap inference for the τ-quantile of cross-sectional individual coefficient distributions in panel data under stochastic and deterministic designs.