Bootstrap confidence sets with weak instruments
DOI10.1080/07474938.2013.825177zbMATH Open1491.62200OpenAlexW2159861303MaRDI QIDQ5080463FDOQ5080463
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
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
Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)
Cites Work
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- Instrumental Variables Regression with Weak Instruments
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- Performance of conditional Wald tests in IV regression with weak instruments
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- A Conditional Likelihood Ratio Test for Structural Models
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- On bootstrapping two-stage least-squares estimates in stationary linear models
- The wild bootstrap, tamed at last
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- Title not available (Why is that?)
- The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models
- Tests with correct size when instruments can be arbitrarily weak
- Bootstrap validity for the score test when instruments may be weak
- Robust confidence sets in the presence of weak instruments
- Bootstrap inference in a linear equation estimated by instrumental variables
- Wild Bootstrap Tests for IV Regression
Cited In (5)
- Confidence sets based on inverting Anderson-Rubin tests
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
- Bootstrap inference for instrumental variable models with many weak instruments
- Robust confidence sets in the presence of weak instruments
- OLS and IV estimation of regression models including endogenous interaction terms
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