On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
We focus on the linear instrumental variable model with two endogenous regressors under conditional homoskedasticity, and study the subset Anderson and Rubin (1949, AR) test when the nuisance structural parameter, the unrestricted slope coefficient of endogenous regressor, may be weakly identified....
Saved in:
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2020
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/140714 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |