Arbeitspapier

Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics -- Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio (LR) -- as functions of six random quantities leads to a number of interesting results about the properties of the tests under weak-instrument asymptotics. We then propose several new procedures for bootstrapping the three non-exact test statistics and also a new conditional bootstrap version of the LR test. These use more efficient estimates of the parameters of the reduced-form equation than existing procedures. When the best of these new procedures is used, both the K and conditional bootstrap LR tests have excellent performance under the null. However, power considerations suggest that the latter is probably the method of choice.

Sprache
Englisch

Erschienen in
Series: Queen's Economics Department Working Paper ; No. 1157

Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Thema
bootstrap test
weak instruments
Anderson-Rubin test
conditional LR test
Wald test
K test
Bootstrap-Verfahren
Statistische Methode

Ereignis
Geistige Schöpfung
(wer)
Davidson, Russell
MacKinnon, James G.
Ereignis
Veröffentlichung
(wer)
Queen's University, Department of Economics
(wo)
Kingston (Ontario)
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Davidson, Russell
  • MacKinnon, James G.
  • Queen's University, Department of Economics

Entstanden

  • 2008

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