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Bootstrap Confidence Sets with Weak Instruments

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.
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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

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  • HAL Id : hal-01463109, version 1

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

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