Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables

James MacKinnon and Russell Davidson

No 1157, Working Paper from Economics Department, Queen's University

Abstract: We study several tests for the coefficient of the singleright-hand-side endogenous variable in a linear equation estimated byinstrumental variables. We show that writing all the test statistics --Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira(K), and likelihood ratio (LR) -- as functions of six random quantitiesleads to a number of interesting results about the properties of the testsunder weak-instrument asymptotics. We then propose several new proceduresfor bootstrapping the three non-exact test statistics and also a newconditional bootstrap version of the LR test. These use more efficientestimates of the parameters of the reduced-form equation than existingprocedures. When the best of these new procedures is used, both the K andconditional bootstrap LR tests have excellent performance under the null.However, power considerations suggest that the latter is probably the methodof choice.

Keywords: bootstrap test; weak instruments; Anderson-Rubin test; conditional LR test; Wald test (search for similar items in EconPapers)
JEL-codes: C10 C12 C15 C30 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2008-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1157.pdf First version 2008 (application/pdf)

Related works:
Working Paper: Bootstrap inference in a linear equation estimated by instrumental variables (2009)
Journal Article: Bootstrap inference in a linear equation estimated by instrumental variables (2008)
Working Paper: BOOTSTRAP INFERENCE IN A LINEAR EQUATION ESTIMATED BY INSTRUMENTAL VARIABLES (2006)
Working Paper: Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1157

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