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Pré-Publication, Document De Travail Année : 2009

Wild bootstrap tests for IV regression

Résumé

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 unknown form. We apply this procedure to t tests, including heteroskedasticity-robust t tests, and to the Anderson-Rubin test. We provide simulation evidence that it works far better than older methods, such as the pairs bootstrap. We also show how to obtain reliable confidence intervals by inverting bootstrap tests. An empirical example illustrates the utility of these procedures.
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Dates et versions

halshs-00443550 , version 1 (30-12-2009)

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  • HAL Id : halshs-00443550 , version 1

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Russell Davidson, James Mackinnon. Wild bootstrap tests for IV regression. 2009. ⟨halshs-00443550⟩
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