Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables

Russell Davidson and James MacKinnon

No 273633, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: We study several tests for the coefficient of the single right-hand-side endogenous vari- able 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: Financial; Economics (search for similar items in EconPapers)
Pages: 44
Date: 2008-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/273633/files/qed_wp_1157.pdf (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 (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)
Working Paper: Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables (2006)
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: https://EconPapers.repec.org/RePEc:ags:quedwp:273633

DOI: 10.22004/ag.econ.273633

Access Statistics for this paper

More papers in Queen's Economics Department Working Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().