ECM - École Centrale de Marseille : UMR7316 (Pôle de l'étoile - Technopole de Château-Gombert - 38 rue Frédéric Joliot-Curie - 13013 Marseille - France)
Abstract : We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR confidence sets using asymptotic critical values and bootstrap confidence sets based on limited-information maximum likelihood (LIML) estimates.
https://hal-amu.archives-ouvertes.fr/hal-01463109
Contributor : Patrice Cacciuttolo <>
Submitted on : Thursday, February 9, 2017 - 1:41:49 PM Last modification on : Wednesday, August 5, 2020 - 3:10:50 AM
Russell Davidson, James G. Mackinnon. Bootstrap Confidence Sets with Weak Instruments. Econometric Reviews, Taylor & Francis, 2014, 33 (5-6), pp.651--675. ⟨hal-01463109⟩