Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/140714
Title: On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
Authors: Wang, Wenjie
Doko Tchatoka, Firmin
Keywords: Social sciences::Economic development
Issue Date: 2018
Source: Wang, W., & Doko Tchatoka, F. (2018). On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity. Journal of Econometrics, 207(1), 188-211. doi:10.1016/j.jeconom.2018.07.003
Journal: Journal of Econometrics
Abstract: We focus on the linear instrumental variable model with two endogenous regressors under conditional homoskedasticity, and study the subset Anderson and Rubin (1949, AR) test when the nuisance structural parameter, the unrestricted slope coefficient of endogenous regressor, may be weakly identified. Weak identification leads to nonstandard null limiting distributions, and alternative to the usual chi-squared critical value is needed. We first investigate the bootstrap validity for the subset AR test based on various plug-in estimators, and show that the bootstrap provides asymptotic refinement when the nuisance structural parameter is strongly identified, but is inconsistent when it is weakly identified. This is in contrast to the result of bootstrap validity in Moreira et al. (2009). Then, we propose a Bonferroni-based size-correction method that yields correct asymptotic size for all the test statistics considered. The power performance of size-corrected tests can be further improved by applying the mapping between structural and endogenous parameters in the model. Monte Carlo experiments confirm the bootstrap inconsistency and demonstrate that all the subset tests based on our correction technique control the size.
URI: https://hdl.handle.net/10356/140714
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.07.003
Rights: © 2018 Elsevier B.V. All rights reserved.
Fulltext Permission: none
Fulltext Availability: No Fulltext
Appears in Collections:SSS Journal Articles

SCOPUSTM   
Citations 50

3
Updated on Feb 6, 2023

Web of ScienceTM
Citations 50

3
Updated on Jan 24, 2023

Page view(s)

136
Updated on Feb 6, 2023

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.