Bootstrap inference in a linear equation estimated by instrumental variables

DOI10.1111/j.1368-423X.2008.00247.xzbMath1154.62018MaRDI QIDQ3548518

Russell Davidson, James G. MacKinnon

Publication date: 15 December 2008

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

zbMATH Keywords

Wald testweak instrumentsbootstrap testAnderson-Rubin testconditional LR testK test

Mathematics Subject Classification ID

Related Items (5)

Bootstrap Confidence Sets with Weak Instruments ⋮ On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators ⋮ On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference ⋮ On bootstrap validity for specification testing with many weak instruments ⋮ Bootstrap inference for instrumental variable models with many weak instruments

Cites Work

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• The power of bootstrap and asymptotic tests
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Wild Bootstrap Tests for IV Regression
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Identification and Inference for Econometric Models
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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