On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

• المؤلفون الرئيسيون: Wang, Wenjie, Doko Tchatoka, Firmin
• مؤلفون آخرون: School of Social Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Social sciences::Economic development; Subvector Inference; Linear IV Model
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/140714
• المؤسسة: Nanyang Technological University

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....