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

DOI10.1016/J.ECONLET.2020.109157zbMath1443.62115OpenAlexW3012024822MaRDI QIDQ777683

Wenjie Wang

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109157

zbMATH Keywords

nonparametric bootstrapAnderson-Rubin testweak identificationweak instrumentsubvector inference

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09)

Cites Work

• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Bootstrap validity for the score test when instruments may be weak
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• On the Asymptotic Sizes of Subset Anderson-Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• A more powerful subvector Anderson Rubin test in linear instrumental variables regression

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