On bootstrap validity for specification testing with many weak instruments

DOI10.1016/j.econlet.2017.06.004zbMath1401.62025OpenAlexW2625698907MaRDI QIDQ1782317

Wenjie Wang, Maximilien Kaffo

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 instrumentsmany instrumentsAnderson-Rubin testJ test

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

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

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