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30 décembre 2009
- ISIDORE Id: 10670/1.684538...
- halshs: halshs-00443550
info:eu-repo/semantics/OpenAccess
Mots-clés
Instrumental variables estimation two-stage least squares weak instruments wild bootstrap pairs bootstrap residual bootstrap confidence intervals Anderson-Rubin testSujets proches
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Russell Davidson et al., « Wild bootstrap tests for IV regression », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.684538...
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Résumé
We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of unknown form. We apply this procedure to t tests, including heteroskedasticity-robust t tests, and to the Anderson-Rubin test. We provide simulation evidence that it works far better than older methods, such as the pairs bootstrap. We also show how to obtain reliable confidence intervals by inverting bootstrap tests. An empirical example illustrates the utility of these procedures.
