We investigate the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) tests of exogeneity in linear IV regressions, with or without identification. Our analysis of the properties (size and power) of the proposed bootstrap tests provides some new insights and extensions of earlier...

We focus on the classical linear simultaneous equations models and study the sensitivity to instrument endogeneity of six alternative versions of Durbin-Wu-Hausman (DWH) tests of exogeneity. To address this issue, we consider two setups for instrument endogeneity: (i) fixed instrument...

This paper sheds new light on subset hypothesis testing in linear structural models in which instrumental variables (IVs) can be arbitrarily weak. For the first time, we investigate the validity of the bootstrap for Anderson-Rubin (AR) type tests of hypotheses specified on a subset of structural...