Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189433 
Year of Publication: 
2008
Series/Report no.: 
Queen's Economics Department Working Paper No. 1157
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
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 (LR) -- as functions of six random quantities leads to a number of interesting results about the properties of the tests under weak-instrument asymptotics. We then propose several new procedures for bootstrapping the three non-exact test statistics and also a new conditional bootstrap version of the LR test. These use more efficient estimates of the parameters of the reduced-form equation than existing procedures. When the best of these new procedures is used, both the K and conditional bootstrap LR tests have excellent performance under the null. However, power considerations suggest that the latter is probably the method of choice.
Subjects: 
bootstrap test
weak instruments
Anderson-Rubin test
conditional LR test
Wald test
K test
JEL: 
C10
C12
C15
C30
Document Type: 
Working Paper

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