Bootstrap confidence sets with weak instruments

Arbeitspapier

We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 1278

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Statistical Simulation Methods: General
• Subject: weak instruments bootstrap ; confidence sets ; Vertrauen ; Bootstrap-Verfahren

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Davidson, Russell ; MacKinnon, James G.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/67786
• Last update: 10.03.2025, 11:45 AM CET