Wild Bootstrap Tests for IV Regression

DOI10.1198/JBES.2009.07221MaRDI QIDQ3160936zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 11 October 2010

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/273611/files/qed_wp_1135.pdf

zbMATH Keywords

Anderson-Rubin testconfidence intervalinstrumental variables estimationpairs bootstrapresidual bootstraptwo-stage least squaresweak instrumentswild bootstrap

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05)

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Cited in

(25)

• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Second order correctness of perturbation bootstrap M-estimator of multiple linear regression parameter
• Implementing the wild bootstrap using a two-point distribution
• The fast iterated bootstrap
• Bootstrapping structural change tests
• Asymptotic theory and wild bootstrap inference with clustered errors
• Wild bootstrap logrank tests with broader power functions for testing superiority
• A score based approach to wild bootstrap inference
• Bootstrap inference in a linear equation estimated by instrumental variables
• Functional causal mediation analysis with an application to brain connectivity
• Bootstrap confidence sets with weak instruments
• Robustness of Bootstrap in Instrumental Variable Regression
• Higher order properties of the wild bootstrap under misspecification
• Bootstrap inference for instrumental variable models with many weak instruments
• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
• Score-based bootstrap test for serial dependence in count time series
• A generalized likelihood ratio test for constancy in varying coefficient models with endogenous regressors
• A comparison of the variance estimation methods for heteroscedastic nonlinear models
• Robust Permutation Tests in Linear Instrumental Variables Regression
• Automated bandwidth selection for inference in linear models with time-varying coefficients
• Wild Bootstrap Inference with Multiway Clustering and Serially Correlated Time Effects
• Detecting weak identification by bootstrap
• On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
• The wild bootstrap, tamed at last

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