Bootstrap confidence sets with weak instruments

DOI10.1080/07474938.2013.825177MaRDI QIDQ5080463zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/274076/files/qed_wp_1278.pdf

zbMATH Keywords

bootstrapconfidence setsweak instruments

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Robust confidence sets in the presence of weak instruments
• Bootstrap inference in a linear equation estimated by instrumental variables
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Confidence sets based on inverting Anderson-Rubin tests

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• Bootstrap inference in a linear equation estimated by instrumental variables
• Bootstrap validity for the score test when instruments may be weak
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• scientific article; zbMATH DE number 3876450 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Instrumental Variables Regression with Weak Instruments
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Performance of conditional Wald tests in IV regression with weak instruments
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Robust confidence sets in the presence of weak instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Tests with correct size when instruments can be arbitrarily weak
• The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models
• The wild bootstrap, tamed at last
• Wild Bootstrap Tests for IV Regression

Cited in

(6)

• Confidence sets based on inverting Anderson-Rubin tests
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• OLS and IV estimation of regression models including endogenous interaction terms
• Bootstrap inference for instrumental variable models with many weak instruments
• Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models
• Robust confidence sets in the presence of weak instruments

Describes a project that uses

Uses Software

• boot

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