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On bootstrap validity for specification tests with weak instruments

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  • Doko Tchatoka, Firmin

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 chi-square distributions. However, the bootstrap provides only a first-order approximation when instruments are weak. This indicates clearly that unlike the Wald-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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47485.

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Date of creation: 31 Mar 2013
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Handle: RePEc:pra:mprapa:47485

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Keywords: Specification tests; weak instruments; bootstrap;

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References

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Blog mentions

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  1. Some Weekend Reading
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-11-01 17:41:00
  2. Some Weekend Reading
    by ? in R-bloggers on 2013-11-01 17:41:00

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