On bootstrap validity for specification testing with many weak instruments

DOI10.1016/J.ECONLET.2017.06.004MaRDI QIDQ1782317zbMATH OpenOpenAlexFDO

Authors Maximilien Kaffo, Wenjie Wang

Publication date 20 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.06.004

zbMATH Keywords

bootstrapweak instrumentsAnderson-Rubin testmany instrumentsJ test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Bootstrap inference for instrumental variable models with many weak instruments
• Bootstrap inference in a linear equation estimated by instrumental variables
• Consistent Estimation with a Large Number of Weak Instruments
• Instrumental Variables Regression with Weak Instruments
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Specification testing in models with many instruments

Cited in

(11)

• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• Bootstrap validity for the score test when instruments may be weak
• Bootstrap inference for instrumental variable models with many weak instruments
• Bootstrapping the GMM overidentification test under first-order underidentification
• A Ridge-Regularized Jackknifed Anderson-Rubin Test
• Efficient bootstrap with weakly dependent processes
• Specification testing in models with many instruments
• On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
• On bootstrap validity for specification tests with weak instruments
• Tests with correct size when instruments can be arbitrarily weak

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