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 …

as the sample size increases. We propose size correction based on bootstrap techniques. Our analysis of the proposed … bootstrap tests provides some new insights. More precisely, we show that even for moderate instrument endogeneity, the bootstrap …