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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

Confidence sets based on inverting Anderson–Rubin tests

Davidson, Russell; MacKinnon, James G. - In: The econometrics journal 17 (2014) 2, pp. 39-58

Persistent link: https://www.econbiz.de/10010498734

Discussion of S.G. Donald et al. and R. Davidson

Schluter, Christian - In: The econometrics journal 15 (2012) 1, pp. 54-57

Persistent link: https://www.econbiz.de/10009520551

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

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