Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67786
Authors: 
Davidson, Russell
MacKinnon, James G.
Year of Publication: 
2011
Series/Report no.: 
Queen's Economics Department Working Paper 1278
Abstract: 
We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates.
Subjects: 
weak instruments bootstrap
confidence sets
JEL: 
C10
C15
Document Type: 
Working Paper

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