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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Objekttyp
- Arbeitspapier
Beteiligte
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 2008
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