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

• المؤلف الرئيسي: Wang, Wenjie
• مؤلفون آخرون: School of Social Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Social sciences::Economic theory; Nonparametric Bootstrap; Weak Identification
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/154887
• المؤسسة: 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...