On the inconsistency of nonparametric bootstraps for the subvector Anderson–Rubin test
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...
Saved in:
Main Author: | Wang, Wenjie |
---|---|
Other Authors: | School of Social Sciences |
Format: | Article |
Language: | English |
Published: |
2022
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/154887 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
Similar Items
-
On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
by: Wang, Wenjie, et al.
Published: (2020) -
Wild bootstrap inference for instrumental variables regressions with weak and few clusters
by: WANG, Wenjie, et al.
Published: (2024) -
A conditional linear combination test with many weak instruments
by: Lim, Dennis, et al.
Published: (2024) -
Confidence interval for the bootstrap P-value and sample size calculation of the bootstrap test
by: Li, J., et al.
Published: (2011) -
Wild bootstrap for instrumental variable regressions with weak and few clusters
by: WANG, Wenjie, et al.
Published: (2021)