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On Bootstrap Validity for Specification Tests with Weak Instruments

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Doko Tchatoka, F (2013) On Bootstrap Validity for Specification Tests with Weak Instruments. Discussion Paper. University of Tasmania. (Unpublished)

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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 2 distributions. However, the bootstrap provides only a first-order approximation when instruments are weak. These results show unlike theWald-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: Report (Discussion Paper)
Keywords: repec, Specification tests; weak instruments; bootstrap
Publisher: University of Tasmania
Additional Information:

Discussion Paper 2013-05 Copyright 2013 University of Tasmania

Date Deposited: 08 Aug 2013 23:27
Last Modified: 18 Nov 2014 04:53
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