Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171850
Authors: 
Davidson, Russell
MacKinnon, James G.
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 825-863
Abstract: 
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 mutually independent random variables and two nuisance parameters. The distributions of the statistics are shown to have an ill-defined limit as the parameter that determines the strength of the instruments tends to zero and as the correlation between the disturbances of the structural and reduced-form equations tends to plus or minus one. This makes it impossible to perform reliable inference near the point at which the limit is ill-defined. Several bootstrap procedures are proposed. They alleviate the problem and allow reliable inference when the instruments are not too weak. We also study their power properties.
Subjects: 
Sargan test
Basmann test
Anderson-Rubin test
weak instruments
JEL: 
C10
C12
C15
C30
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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