Arbeitspapier

Bootstrap confidence sets with weak instruments

zu Verbundenen Objekten

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.

Sprache
Englisch

Erschienen in
Series: Queen's Economics Department Working Paper ; No. 1278

Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Statistical Simulation Methods: General
Thema
weak instruments bootstrap
confidence sets
Vertrauen
Bootstrap-Verfahren

Ereignis
Geistige Schöpfung
(wer)
Davidson, Russell
MacKinnon, James G.
Ereignis
Veröffentlichung
(wer)
Queen's University, Department of Economics
(wo)
Kingston (Ontario)
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

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

Entstanden

  • 2011

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