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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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Available under University of Tasmania Standard License.


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)
Authors/Creators:Doko Tchatoka, F
Keywords: repec, Specification tests; weak instruments; bootstrap
Publisher: University of Tasmania
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Discussion Paper 2013-05 Copyright 2013 University of Tasmania

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