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 all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and likelihood ratio (LR)--can be written as functions of six random quantities. This 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 a conditional 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, K and conditional LR have excellent performance under the null, and LR also performs very well. However, power considerations suggest that the conditional LR test, bootstrapped using this new procedure when the sample size is not large, is probably the method of choice.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 1024
- Klassifikation
-
Wirtschaft
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
instrumental variables
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)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 2006
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