Doko Tchatoka, Firmin Sabro (2012): Specification Tests with Weak and Invalid Instruments.

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Abstract
We investigate the size of the DurbinWuHausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap procedure for correcting their size. The proposed bootstrap procedure does not require identification assumptions and is also valid even for moderate correlations between the structural error and instruments, so it can be described as robust to both weak and invalid instruments.
Item Type:  MPRA Paper 

Original Title:  Specification Tests with Weak and Invalid Instruments 
Language:  English 
Keywords:  Exogeneity tests; weak instruments; instrument endogeneity; bootstrap technique 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C30  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General 
Item ID:  40185 
Depositing User:  Firmin Doko Tchatoka 
Date Deposited:  20. Jul 2012 10:58 
Last Modified:  16. Feb 2013 03:32 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/40185 