Bootstrap inference for instrumental variable models with many weak instruments

DOI10.1016/j.jeconom.2015.12.016zbMath1419.62526OpenAlexW2223323003MaRDI QIDQ5964760

Maximilien Kaffo, Wenjie Wang

Publication date: 1 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.12.016

zbMATH Keywords

bootstrapweak instrumentscorrected standard errorFULLLIMLmany instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (5)

ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ A conditional linear combination test with many weak instruments ⋮ On bootstrap validity for specification testing with many weak instruments ⋮ On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity ⋮ Robust estimation with many instruments

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