Speeding up the Cluster Bootstrap in R

Back in January 2013 I wrote a blog post showing how to implement a basic cluster/block bootstrap in R. One drawback of the cluster bootstap is the length of time it takes to sample with replacement and create the data samples. Thankfully some of the comments on my previous post illustrated simple ways to get speed gains. However, even with these gains this procedure is extremely time consuming.

I have been using the cluster bootstrap in some of my research and have found another way to speed things up—use parallel processing power. I appreciate I might be somewhat late to the multicore functions, but hopefully somebody has been having a similar issue as me can take solace from this post.

In the code below I demonstrate how the function “clusterApply” from the package “snow” can be used as a replacement for the regular “apply” function. Note the cluster in clusterApply refers to the mulitcore clusters rather than the clusters in the data frame. My code sets up a simple regression problem, wherein the standard error of the the regressor is 0.4. To demonstrate the clustering phenomenon I duplicate the data frame of  10,000 observations 20 times. As a result of this the standard error falls to 0.09 based on the naive estimate of the variance-covariance matrix.

The clustering problem can easily be corrected using the “felm” function from (what I consider the best R package) “lfe”. However, there are many occasions where researchers might want to use econometric techniques that do not lend themselves to a simple variance-covariance correction like the OLS or 2SLS estimators. These are the situations where you wan to use the cluster bootstrap.

The code below demonstrates how this can be done with and without using parallel processing. The only difference is that the parallel processing requires the user to set the number of clusters (again not clusters in the data!) and use clusterApply instead of apply. In this application, using parallel processing reduces the cluster bootstrap time down from 5 mins 42 seconds to 4 mins 6 seconds. This might seem reasonably trivial however in this simple application I am using a relatively small number of observations (10,000). The parallel processing method will get relatively quicker the larger the number of observations. Also, you can increase this by having a computer with more cores.

I appreciate any comments or criticism people might have on the code below. If anybody can think of a way that would help me to speed this up even more I would be delighted to hear it.

# cluster bootstrap with paralell processing

# packages for cluster standard errors
# use multicore functions

# set up simulation
n <- 10000 # number of observations
x <- rnorm(n)
y <- 5 + 2*x + rnorm(n, 0, 40)
# regression
m1 <- lm(y ~ x)
# standard error is 0.4

# duplicate data
dpt <- 20 # dpt times
dat <- data.frame(x = rep(x, dpt) , y = rep(y, dpt), g = rep(1:n, dpt))

# regressions with no clustering
m2 <- lm(y ~ x, data = dat) # smaller StErrs
# standard errors are like m1 = 0.09

# now cluster
summary(felm(y ~ x | 0 | 0 | g, data = dat))
# standard errors are like m1 = 0.4

# lets do this with a regular cluster bootstap
reps <- 50 # 50 reps in practice do more
clusters <- unique(dat$g)
boot.res1 <- matrix(NA, nrow = reps, ncol = 1)

# open time stamp
t1 <- Sys.time()
# set the seed 
# do in loop
for(i in 1:reps){
  # sample the clusters with replacement
  units <- sample(clusters, size = length(clusters), replace=T)
  # create bootstap sample with sapply
  df.bs <- sapply(units, function(x) which(dat[,"g"]==x))
  df.bs <- dat[unlist(df.bs),]
  boot.res1[i] <- coef(lm(y ~ x, data = df.bs))[2]
# close time stamp
t2 <- Sys.time()
t2 - t1 

sd(boot.res1) # good bootstrap standard errors are = 0.4

# now lets speed up the sapply function from the previous example

boot.res2 <- matrix(NA, nrow = reps, ncol = 1)

# set the seed 

cl <- makeCluster(10)
# open time stamp
t3 <- Sys.time()
# do in loop
for(i in 1:reps){
  # sample the clusters with replacement
  units <- sample(clusters, size = length(clusters), replace = T)
  # now use the 10 cores instead of 1!
  clusterExport(cl, c("dat", "units"))
  # cluster apply instead of regular apply
  df.bs = clusterApply(cl, units, function(x) which(dat$g == x))
  df.bs <- dat[unlist(df.bs),]
  boot.res2[i] <- coef(lm(y ~ x, data = df.bs))[2]
# close time stamp
t4 <- Sys.time()
t4 - t3 


sd(boot.res2) # good bootstrap standard errors are = 0.4

The Cluster Bootstrap

Adjusting standard errors for clustering can be a very important part of any statistical analysis. For example, duplicating a data set will reduce the standard errors dramatically despite there being no new information.

I have previously dealt with this topic with reference to the linear regression model. However, in many cases one would like to obtain cluster-robust standard errors for more elaborate statistical analyses than a simple linear regression model. Typically, increases in model complexity are met with similar increases in the calculations required to estimate the model’s uncertainty via analytical means. Adding the required adjustment for group clustering furthers this often burdensome process.

Bootstrapping procedures offer a simple solution to this issue. Essentially, a nonparametric bootstrap procedure estimates a model for a specified number of repetitions using samples of the data frame. The simplest bootstrap draws a random sample from the data frame such that the sample data frame is the same dimension as the main data frame, although the observations are not the same because it allows for random sampling with replacement. For each repetition the main analysis is repeated on the sample data, and the estimate stored (so for a linear regression model this would be the model’s coefficients). Once all repetitions have been computed the standard errors can be calculated by taking the standard deviation of the stored model estimates.

Adapting this technique to tackle clustering is relatively straightforward. Instead of drawing the observation units with replacement, one draws the cluster units with replacement. For example, imagine we have a data frame consisting of 1,000 students from 100 schools. The non-cluster bootstrap draws 1,000 observations from the 1,000 students with replacement for each repetition. The cluster bootstrap will instead draw 100 schools with replacement.

In the below, I show how to formulate a simple cluster bootstrap procedure for a linear regression in R. In this analysis, I simulate some data and then falsely replicate the data frame three times which causes the standard errors to drop. I then show how a simple cluster-robust command solves this issue (i.e. gives standard errors like the original data frame that had not been replicated). Finally, I show how these cluster-robust standard errors can be obtained via bootstrapping. The code is anything but succinct (and therefore probably very inefficient), so I would be happy to take suggestions on how one could improve my clusbootreg() function. Nevertheless, it is clear from the output that this function is giving the right answers.

# cluster-boot
library(lmtest) ; library(sandwich)
# data sim
x <- rnorm(1000)
y <- 5 + 2*x + rnorm(1000)
# regression

# triple data
dat <- data.frame(x=c(x,x,x),y=c(y,y,y),g=c(1:1000,1:1000,1:1000))
# regressions
m1 <- lm(y~x, dat) # smaller StErrs

# cluster robust standard error function
robust.se <- function(model, cluster){
  M <- length(unique(cluster))
  N <- length(cluster)
  K <- model$rank
  dfc <- (M/(M - 1)) * ((N - 1)/(N - K))
  uj <- apply(estfun(model), 2, function(x) tapply(x, cluster, sum));
  rcse.cov <- dfc * sandwich(model, meat = crossprod(uj)/N)
  rcse.se <- coeftest(model, rcse.cov)
  return(list(rcse.cov, rcse.se))

robust.se(m1,dat$g)[[2]] # StErrs now back to what they are

# cluster bootstrap function
clusbootreg <- function(formula, data, cluster, reps=1000){
  reg1 <- lm(formula, data)
  clusters <- names(table(cluster))
  sterrs <- matrix(NA, nrow=reps, ncol=length(coef(reg1)))
  for(i in 1:reps){
    index <- sample(1:length(clusters), length(clusters), replace=TRUE)
    aa <- clusters[index]
    bb <- table(aa)
    bootdat <- NULL
    for(j in 1:max(bb)){
      cc <- data[cluster %in% names(bb[bb %in% j]),]
      for(k in 1:j){
        bootdat <- rbind(bootdat, cc)
    sterrs[i,] <- coef(lm(formula, bootdat))
  val <- cbind(coef(reg1),apply(sterrs,2,sd))
  colnames(val) <- c("Estimate","Std. Error")
  > summary(lm(y~x)) #correct StErrs

  lm(formula = y ~ x)

  Min       1Q   Median       3Q      Max 
-3.10461 -0.63043  0.02924  0.70622  2.78926 

  Estimate Std. Error t value Pr(>|t|)    
(Intercept)  4.96345    0.03084  160.97   <2e-16 ***
x            2.02747    0.03048   66.51   <2e-16 ***
  Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

Residual standard error: 0.9748 on 998 degrees of freedom
Multiple R-squared: 0.8159,  Adjusted R-squared: 0.8157 
F-statistic:  4424 on 1 and 998 DF,  p-value: < 2.2e-16 

> summary(lm(y~x, dat)) #smaller StErrs

  lm(formula = y ~ x, data = dat)

  Min       1Q   Median       3Q      Max 
-3.10461 -0.63043  0.02924  0.70622  2.78926 

  Estimate Std. Error t value Pr(>|t|)    
(Intercept)  4.96345    0.01779   279.0   <2e-16 ***
x            2.02747    0.01759   115.3   <2e-16 ***
  Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

Residual standard error: 0.9742 on 2998 degrees of freedom
Multiple R-squared: 0.8159,	Adjusted R-squared: 0.8159 
F-statistic: 1.329e+04 on 1 and 2998 DF,  p-value: < 2.2e-16 

> robust.se(m1,dat$g)[[2]] #correct StErrs

t test of coefficients:
  Estimate Std. Error t value  Pr(>|t|)    
(Intercept) 4.963447   0.030810 161.099 < 2.2e-16 ***
x           2.027469   0.029347  69.086 < 2.2e-16 ***
  Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 

> clusbootreg(formula=y~x, data=dat, cluster=dat$g, reps=1000) #correct StErrs
Estimate Std. Error
(Intercept) 4.963447 0.03197737
x           2.027469 0.02920071