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Journal Articles Econometric Reviews Year : 2014

Bootstrap Confidence Sets with Weak Instruments

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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.

Dates and versions

hal-01463109 , version 1 (09-02-2017)

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Russell Davidson, James G. Mackinnon. Bootstrap Confidence Sets with Weak Instruments. Econometric Reviews, 2014, 33 (5-6), pp.651-675. ⟨10.1080/07474938.2013.825177⟩. ⟨hal-01463109⟩
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