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

• Main Authors: Wang, Wenjie, Doko Tchatoka, Firmin
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2020
• Subjects: Social sciences::Economic development; Subvector Inference; Linear IV Model
• Online Access: https://hdl.handle.net/10356/140714
• Institution: 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....