Wild Bootstrap Tests for IV Regression

Arbeitspapier

We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of unknown form. We apply this procedure to t tests, including heteroskedasticity-robust t tests, and to the Anderson-Rubin test. We provide simulation evidence that it works far better than older methods, such as the pairs bootstrap. We also show how to obtain reliable confidence intervals by inverting bootstrap tests. An empirical example illustrates the utility of these procedures.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Queen's Economics Department Working Paper ; No. 1135

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models; Multiple Variables: General
• Thema: Instrumental variables ; two-stage least squares ; wild bootstrap ; pairs bootstrap ; residual bootstrap ; weak instruments ; confidence intervals ; Bootstrap-Verfahren ; Schätztheorie ; Heteroskedastizität

Beteiligte, Orts- und Zeitangaben

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

Weitere Informationen

• Handle: http://hdl.handle.net/10419/189411
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ