کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5057758 1476606 2017 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On bootstrap validity for specification testing with many weak instruments
ترجمه فارسی عنوان
در مورد اعتبار بوت استرپ برای تست مشخصات با بسیاری از ابزارهای ضعیف
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We show bootstrap validity for the J test and Anderson-Rubin test under many/many weak instruments.
- The bootstrap does not require an a priori choice of asymptotic framework.
- Monte Carlo simulation shows that the bootstrap has a good finite-sample performance under many/many weak instruments.

This paper studies the asymptotic validity of bootstrapping the J test of over-identifying restrictions and the Anderson-Rubin (AR) test under many/many weak instrument sequences. We show that the (residual-based) bootstrap consistently estimates the limiting distributions of interest under these asymptotic frameworks. Interestingly, such bootstrap validity holds even if the bootstrap cannot mimic well certain important properties in the model. In addition, the studied bootstrap procedures are easy to implement in practice because they do not require an a priori choice between the conventional asymptotics and the many/many weak instrument asymptotics. Monte Carlo simulation shows that the bootstrap techniques provide a more reliable method to approximate the null distribution of the J and AR test statistics under many/many weak instruments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 157, August 2017, Pages 107-111
نویسندگان
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