Bootstrap Confidence Sets with Weak Instruments

Russell Davidson and James MacKinnon

No 274076, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates.

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 27
Date: 2012-04
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Related works:
Journal Article: Bootstrap Confidence Sets with Weak Instruments (2014)
Working Paper: Bootstrap Confidence Sets with Weak Instruments (2014)
Working Paper: Bootstrap Confidence Sets With Weak Instruments (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:274076

DOI: 10.22004/ag.econ.274076

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