On the inconsistency of nonparametric bootstraps for the subvector Anderson–Rubin test

• Main Author: Wang, Wenjie
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Social sciences::Economic theory; Nonparametric Bootstrap; Weak Identification
• Online Access: https://hdl.handle.net/10356/154887
• Institution: Nanyang Technological University

Bootstrap procedures based on instrumental variable (IV) estimates or t-statistics are generally invalid when the instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference based on the Anderson–Rubin (AR) statistic, Wang and Doko...