Bootstrap inference in a linear equation estimated by instrumental variables

DOI10.1111/j.1368-423X.2008.00247.xzbMath1154.62018MaRDI QIDQ3548518

Russell Davidson, James G. MacKinnon

Publication date: 15 December 2008

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Wald testweak instrumentsbootstrap testAnderson-Rubin testconditional LR testK test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Related Items (5)

Bootstrap Confidence Sets with Weak Instruments ⋮ On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators ⋮ On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference ⋮ On bootstrap validity for specification testing with many weak instruments ⋮ Bootstrap inference for instrumental variable models with many weak instruments

Cites Work

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• The power of bootstrap and asymptotic tests
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Wild Bootstrap Tests for IV Regression
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Identification and Inference for Econometric Models
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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