Doko Tchatoka, Firmin (2013): On bootstrap validity for specification tests with weak instruments.
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Abstract
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square distributions. However, the bootstrap provides only a first-order approximation when instruments are weak. This indicates clearly that unlike the Wald-statistic based on a k-class type estimator (Moreira et al., 2009), the bootstrap is valid even for the Wald-type of DWH statistics in the presence of weak instruments.
Item Type: | MPRA Paper |
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Original Title: | On bootstrap validity for specification tests with weak instruments |
Language: | English |
Keywords: | Specification tests, weak instruments, bootstrap |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: 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 > C19 - Other C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C36 - Instrumental Variables (IV) Estimation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection |
Item ID: | 47485 |
Depositing User: | Firmin Doko Tchatoka |
Date Deposited: | 10 Jun 2013 02:02 |
Last Modified: | 28 Sep 2019 16:47 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/47485 |
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