Wild Bootstrap Tests for IV Regression

Russell Davidson and James MacKinnon

No 273611, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of unknown form. We apply this procedure to t tests, including heteroskedasticity-robust t tests, and to the Anderson-Rubin test. We provide simulation evidence that it works far better than older methods, such as the pairs bootstrap. We also show how to obtain reliable confidence intervals by inverting bootstrap tests. An empirical example illustrates the utility of these procedures.

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 36
Date: 2008-03
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https://ageconsearch.umn.edu/record/273611/files/qed_wp_1135.pdf (application/pdf)

Related works:
Journal Article: Wild Bootstrap Tests for IV Regression (2010)
Working Paper: Wild bootstrap tests for IV regression (2009)
Working Paper: WILD BOOTSTRAP TESTS FOR IV REGRESSION (2007)
Working Paper: Wild Bootstrap Tests For Iv Regression (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273611

DOI: 10.22004/ag.econ.273611

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