Confidence sets based on inverting Anderson–Rubin tests
Author:
Affiliation:
1. Department of Economics, McGill University, Montreal, QC H3A 2T7 Canada
2. AMSE‐GREQAM, Centre de la Vieille Charité, 2 Rue de la Charité 13236, Marseille cedex 02 France
3. Department of Economics, Queen's University, Kingston, ON K7L 3N6 Canada
Funder
Social Sciences and Humanities Research Council of Canada
Canada Research Chairs
Fonds Québécois de Recherche sur la Société et la Culture
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/17/2/S39/27679119/ectj0s39.pdf
Reference19 articles.
1. Estimation of the parameters of a single equation in a complete set of stochastic equations;Anderson;Annals of Mathematical Statistics,1949
2. Bootstrap inference in a linear equation estimated by instrumental variables;Davidson;Econometrics Journal,2008
3. Wild bootstrap tests for IV regression;Davidson;Journal of Business and Economic Statistics,2010
4. Bootstrap confidence sets with weak instruments;Davidson;Econometric Reviews,2014
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