Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables

Russell Davidson and James MacKinnon ()

No 1157, Working Papers from Queen's University, Department of Economics

Abstract: 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 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 quantities 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 also a new conditional bootstrap 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, both the K and conditional bootstrap LR tests have excellent performance under the null. However, power considerations suggest that the latter is probably the method of choice.

Keywords: bootstrap test; weak instruments; Anderson-Rubin test; conditional LR test; Wald test; K test (search for similar items in EconPapers)
JEL-codes: C10 C12 C15 C30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-03
View list of references

Downloads: (external link)
http://www.econ.queensu.ca/working_papers/papers/qed_wp_1157.pdf Second version 2008 (application/pdf)

Related works:
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)
Journal Article: Bootstrap inference in a linear equation estimated by instrumental variables (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:1157

Access Statistics for this paper

More papers in Working Papers from Queen's University, Department of Economics
Contact information at EDIRC.
Series data maintained by Mark Babcock ().