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 DurbinWuHausman (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 chisquare distributions. However, the bootstrap provides only a firstorder approximation when instruments are weak. This indicates clearly that unlike the Waldstatistic based on a kclass type estimator (Moreira et al., 2009), the bootstrap is valid even for the Waldtype of DWH statistics in the presence of weak instruments.
Item Type:  MPRA Paper 

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:  47543 
Depositing User:  Firmin Doko Tchatoka 
Date Deposited:  11. Jun 2013 00:30 
Last Modified:  11. Jun 2013 00:48 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/47543 
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