Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables  

Oleh:

Davidson, Russell ; MacKinnon, James G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 3 (2008), page 443.
Topik: Bootstrap Inference; Linear Equation; Estimation; Instrumental Variables
Fulltext: 443.pdf (1.4MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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