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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.
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2013-05_Bootstr...pdf | Download (282kB) Available under University of Tasmania Standard License. |
Official URL: http://www.utas.edu.au/economics-finance
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) |
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Authors/Creators: | Doko Tchatoka, F |
Keywords: | repec, Specification tests; weak instruments; bootstrap |
Publisher: | University of Tasmania |
Additional Information: | Discussion Paper 2013-05 Copyright 2013 University of Tasmania |
Item Statistics: | View statistics for this item |
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