Bootstrap Confidence Sets With Weak Instruments

James MacKinnon and Russell Davidson

No 1278, Working Paper from Economics Department, Queen's University

Abstract: We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in alinear 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 thatgenerally work best are CLR confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates.

Keywords: weak instruments; bootstrap; confidence sets; CLR test; LIML (search for similar items in EconPapers)
JEL-codes: C10 C15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2012-04
New Economics Papers: this item is included in nep-ecm
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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1278.pdf First version 2012 (application/pdf)

Related works:
Working Paper: Bootstrap Confidence Sets with Weak Instruments (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1278

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