On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

DOI10.1016/j.jeconom.2018.07.003zbMath1402.62028OpenAlexW2885597932MaRDI QIDQ1792487

Publication date: 12 October 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.07.003

zbMATH Keywords

Edgeworth expansion plug-in estimator Anderson-Rubin test weak identification bootstrap inconsistency asymptotic size subvector inference Bonferroni-based size-correction linear IV model

Mathematics Subject Classification ID

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

Related Items (1)

On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test

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