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Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...

Persistent link: https://www.econbiz.de/10011411381

On the speed of adjustment in ESTAR models when allowance is made for bias in estimation

Payá, Ivan; Peel, David - In: Economics letters 90 (2006) 2, pp. 272-277

Persistent link: https://www.econbiz.de/10003276066

Temporal aggregation of an estar process : some implications for purchasing power parity adjustment

Payá, Ivan; Peel, David - In: Journal of applied econometrics 21 (2006) 5, pp. 655-668

Persistent link: https://www.econbiz.de/10003360464

The power of bootstrap and asymptotic tests

Davidson, Russell; MacKinnon, James G. - In: Journal of econometrics 133 (2006) 2, pp. 421-441

Persistent link: https://www.econbiz.de/10003359537

Evaluating the properties of analysts' forecasts: a bootstrap approach

Clatworthy, Mark; Peel, David; Pope, Peter F. - In: The British accounting review : the journal of the … 39 (2007) 1, pp. 3-13

Persistent link: https://www.econbiz.de/10003439199

Wild bootstrap tests for IV regression

Davidson, Russell; MacKinnon, James G. - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 128-144

Persistent link: https://www.econbiz.de/10003992817

Implementing the wild bootstrap using a two-point distribution

Davidson, James E. H.; Monticini, Andrea; Peel, David - In: Economics letters 96 (2007) 3, pp. 309-315

Persistent link: https://www.econbiz.de/10003504614

Bootstrap confidence sets with weak instruments

Davidson, Russell; MacKinnon, James G. - In: Econometric reviews 33 (2014) 5/6, pp. 651-675

Persistent link: https://www.econbiz.de/10010363895

Bootstrap inference in a linear equation estimated by instrumental variables

Davidson, Russell; MacKinnon, James G. - In: The econometrics journal 11 (2008) 3, pp. 443-477

Persistent link: https://www.econbiz.de/10003802333

Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap

Ioannidis, Christos; Peel, David - In: Economics letters 87 (2005) 2, pp. 221-226

Persistent link: https://www.econbiz.de/10002837387