On bootstrap validity for specification tests with weak instruments

Firmin Doko Tchatoka

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square distributions. However, the bootstrap provides only a first-order approximation when instruments are weak. This indicates clearly that unlike the Wald-statistic based on a k-class type estimator (Moreira et al., 2009), the bootstrap is valid even for the Wald-type of DWH statistics in the presence of weak instruments.

Keywords: Specification tests; weak instruments; bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C19 C3 C36 C52 (search for similar items in EconPapers)
Date: 2013-03-31
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/47543/1/MPRA_paper_47543.pdf revised version (application/pdf)

Related works:
Working Paper: On Bootstrap Validity for Specification Tests with Weak Instruments (2014)
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