On bootstrap validity for specification tests with weak instruments

No 16875, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This paper investigates the asymptotic validity of the bootstrap for Durbin-WuHausman (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 2 distributions. However, the bootstrap provides only a first-order approximation when instruments are weak. These results show unlike the Wald-statistic based on a k-class type estimator (Moreira et al., 2009), the bootstrap is valid even for the Wald-type of DWH statistics in the presence of weak instruments.

Keywords: Specification tests; weak instruments; bootstrap. (search for similar items in EconPapers)
JEL-codes: C12 C15 C3 C52 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-08-05, Revised 2013-08-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published by the University of Tasmania. Discussion paper 2013-05

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Related works:
Journal Article: On bootstrap validity for specification tests with weak instruments (2015)
Working Paper: On Bootstrap Validity for Specification Tests with Weak Instruments (2014)
Working Paper: On bootstrap validity for specification tests with weak instruments (2013)
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