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Wild Bootstrap Tests for IV Regression Author info | Abstract | Publisher info | Download info | Related research | Statistics Russell Davidson () (McGill University)
James G. MacKinnon () (Queen's University)
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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.
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number
1135.
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Length: 34 pages
Date of creation: Mar 2008Date of revision:
Handle: RePEc:qed:wpaper:1135Contact details of provider: Postal: Kingston, Ontario, K7L 3N6 Phone: (613) 533-2250 Fax: (613) 533-6668 Email: Web page: http://www.econ.queensu.ca/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).
Keywords: Instrumental variables two-stage least squares wild bootstrap pairs bootstrap residual bootstrap weak instruments confidence intervals Other versions of this item:
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004.
"Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak ,"
NBER Technical Working Papers
0302, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments ,"
Econometrica ,
Econometric Society, vol. 65(3), pages 557-586, May.
Other versions: James G. MacKinnon, 2006.
"Bootstrap Methods in Econometrics ,"
Working Papers
1028, Queen's University, Department of Economics.
[Downloadable!]
Other versions: Frank Kleibergen, 2002.
"Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression ,"
Econometrica ,
Econometric Society, vol. 70(5), pages 1781-1803, September.
[Downloadable!] (restricted)
Other versions: Emmanuel Flachaire, 2001.
"The Wild Bootstrap, Tamed at Last ,"
STICERD - Distributional Analysis Research Programme Papers
58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
Other versions:
Russell Davidson & Emmanuel Flachaire, 2001.
"The Wild Bootstrap, Tamed at Last ,"
Working Papers
1000, Queen's University, Department of Economics.
[Downloadable!] Russell Davidson & Emmanuel Flachaire, 2000.
"The Wild Bootstrap, Tamed at Last ,"
Econometric Society World Congress 2000 Contributed Papers
1413, Econometric Society.
[Downloadable!] Davidson, R. & Flachaire, E., 1999.
"The Wild Bootstrap, Tamed at Last ,"
G.R.E.Q.A.M.
99a32, Universite Aix-Marseille III.
Donald W. K. Andrews & Marcelo J. Moreira & James H. Stock, 2006.
"Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression ,"
Econometrica ,
Econometric Society, vol. 74(3), pages 715-752, 05.
[Downloadable!] (restricted)
Davidson, Russell & MacKinnon, James G., 1999.
"The Size Distortion Of Bootstrap Tests ,"
Econometric Theory ,
Cambridge University Press, vol. 15(03), pages 361-376, June.
[Downloadable!]
Other versions: Russell Davidson & James G. MacKinnon, 2006.
"Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables ,"
Working Papers
1024, Queen's University, Department of Economics.
[Downloadable!]
Other versions: Marcelo J. Moreira, 2003.
"A Conditional Likelihood Ratio Test for Structural Models ,"
Econometrica ,
Econometric Society, vol. 71(4), pages 1027-1048, 07.
[Downloadable!] (restricted)
Alfonso Flores-Lagunes, 2007.
"Finite sample evidence of IV estimators under weak instruments ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 22(3), pages 677-694.
[Downloadable!]
Sílvia Gonçalves & Lutz Kilian, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
CIRANO Working Papers
2003s-17, CIRANO.
[Downloadable!]
Other versions:
GONÇALVES, Silvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
2003-01, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Lutz Kilian & Silvia Goncalves, 2002.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ,"
Working Paper Series
196, European Central Bank.
[Downloadable!] GONÇALVES, Sílvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] Gonçalves, Sílvia & Kilian, Lutz, 2002.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Discussion Paper Series 1: Economic Studies
2002,26, Deutsche Bundesbank, Research Centre.
[Downloadable!] Goncalves, Silvia & Kilian, Lutz, 2004.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ,"
Journal of Econometrics ,
Elsevier, vol. 123(1), pages 89-120, November.
[Downloadable!] (restricted)
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Russell Davidson & James G. MacKinnon, 2008.
"Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables ,"
Working Papers
1157, Queen's University, Department of Economics.
[Downloadable!]
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