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The Case Against JIVE
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2004
Instrumental Variables Estimator," or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest … to LIML in all respects. Interestingly, JIVE seems to perform particularly badly when the instruments are weak. … that JIVE should ever be used. It is always more dispersed than 2SLS, often very much so, and it is almost always inferior …
Persistent link: https://www.econbiz.de/10005787665
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Wild Bootstrap Tests for IV Regression
Davidson, Russell; MacKinnon, James G. - 2008
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...
Persistent link: https://www.econbiz.de/10011940749
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Wild Bootstrap Tests for IV Regression
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2008
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...
Persistent link: https://www.econbiz.de/10005688408
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Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables
Davidson, Russell; MacKinnon, James G. - 2006
We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and likelihood ratio (LR)--can be written as functions of six...
Persistent link: https://www.econbiz.de/10011940646
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Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2006
We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and likelihood ratio (LR)--can be written as functions of six...
Persistent link: https://www.econbiz.de/10005787714
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - 2014
Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a single endogenous regressor and weak instruments, little attention has been paid to tests for overidentifying restrictions in these circumstances. We study asymptotic tests for...
Persistent link: https://www.econbiz.de/10010368288
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Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables
Davidson, Russell; MacKinnon, James G. - 2008
We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics -- Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...
Persistent link: https://www.econbiz.de/10011940771
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - In: Econometrics 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/10011755304
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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
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2014
instrumental variables (IV) and limited-information maximum likelihood (LIML). Under the assumption of Gaussian disturbances, we …
Persistent link: https://www.econbiz.de/10010757310