메뉴 건너뛰기




Volumn 33, Issue 5-6, 2014, Pages 651-675

Bootstrap Confidence Sets with Weak Instruments

Author keywords

Bootstrap; Confidence sets; Weak instruments

Indexed keywords


EID: 84889246691     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2013.825177     Document Type: Article
Times cited : (12)

References (23)
  • 2
    • 0001779878 scopus 로고
    • Estimation of the parameters of a single equation in a complete system of stochastic equations
    • Anderson, T. W., Rubin, H. (1949). Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics 20: 46 - 63.
    • (1949) Annals of Mathematical Statistics , vol.20 , pp. 46-63
    • Anderson, T.W.1    Rubin, H.2
  • 3
    • 34248576691 scopus 로고    scopus 로고
    • Performance of conditional Wald tests in IV regression with weak instruments
    • Andrews, D. W. K., Moreira, M., Stock, J. (2007). Performance of conditional Wald tests in IV regression with weak instruments. Journal of Econometrics 139: 116 - 132.
    • (2007) Journal of Econometrics , vol.139 , pp. 116-132
    • Andrews, D.W.K.1    Moreira, M.2    Stock, J.3
  • 6
    • 55849147310 scopus 로고    scopus 로고
    • Bootstrap inference in a linear equation estimated by instrumental variables
    • Davidson, R., MacKinnon, J. G. (2008). Bootstrap inference in a linear equation estimated by instrumental variables. Econometrics Journal 11: 443 - 477.
    • (2008) Econometrics Journal , vol.11 , pp. 443-477
    • Davidson, R.1    MacKinnon, J.G.2
  • 10
    • 0000417969 scopus 로고    scopus 로고
    • Some impossibility theorems in econometrics with applications to structural and dynamic models
    • Dufour, J.-M. (1997). Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica 65: 1365 - 1388.
    • (1997) Econometrica , vol.65 , pp. 1365-1388
    • Dufour, J.-M.1
  • 11
    • 0000299884 scopus 로고
    • On bootstrapping stationary two-stage least-squares estimates in stationary linear models
    • Freedman, D. A. (1984). On bootstrapping stationary two-stage least-squares estimates in stationary linear models. Annals of Statistics 12: 827 - 842.
    • (1984) Annals of Statistics , vol.12 , pp. 827-842
    • Freedman, D.A.1
  • 12
    • 0000769201 scopus 로고
    • The non-existence of 100(1 - α)% confidence sets of finite expected diameter in errors-in-variables and related models
    • Gleser, L., Hwang, J. (1987). The non-existence of 100(1 - α)% confidence sets of finite expected diameter in errors-in-variables and related models. Annals of Statistics 15: 1351 - 1362.
    • (1987) Annals of Statistics , vol.15 , pp. 1351-1362
    • Gleser, L.1    Hwang, J.2
  • 13
    • 0036377649 scopus 로고    scopus 로고
    • Pivotal statistics for testing structural parameters in instrumental variables regression
    • Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica 70: 1781 - 1803.
    • (2002) Econometrica , vol.70 , pp. 1781-1803
    • Kleibergen, F.1
  • 14
    • 77953710617 scopus 로고    scopus 로고
    • Robust confidence sets in the presence of weak instruments
    • Mikusheva, A. (2010). Robust confidence sets in the presence of weak instruments. Journal of Econometrics 157:236-247.
    • (2010) Journal of Econometrics , vol.157 , pp. 236-247
    • Mikusheva, A.1
  • 15
    • 0141718527 scopus 로고    scopus 로고
    • A conditional likelihood ratio test for structural models
    • Moreira, M. J. (2003). A conditional likelihood ratio test for structural models. Econometrica 71: 1027 - 1048.
    • (2003) Econometrica , vol.71 , pp. 1027-1048
    • Moreira, M.J.1
  • 16
    • 65949084314 scopus 로고    scopus 로고
    • Tests with correct size when instruments can be arbitrarily weak
    • Moreira, M. J. (2009). Tests with correct size when instruments can be arbitrarily weak. Journal of Econometrics 152: 131 - 140.
    • (2009) Journal of Econometrics , vol.152 , pp. 131-140
    • Moreira, M.J.1
  • 18
    • 63149101495 scopus 로고    scopus 로고
    • Bootstrap validity for the score test when instruments may be weak
    • Moreira, M. J., Porter, J. R., Suarez, G. A. (2009). Bootstrap validity for the score test when instruments may be weak. Journal of Econometrics 149: 52 - 64.
    • (2009) Journal of Econometrics , vol.149 , pp. 52-64
    • Moreira, M.J.1    Porter, J.R.2    Suarez, G.A.3
  • 20
    • 33645758201 scopus 로고
    • Exact small sample theory in the simultaneous equations model
    • In:, In: Griliches Z., editorsIntriligator M. D., editors North Holland, Amsterdam, Chp. 8
    • Phillips, P. C. B. (1983). Exact small sample theory in the simultaneous equations model. In: Griliches, Z., Intriligator, M. D., eds. Handbook of Econometrics. Vol. 1. North Holland: Amsterdam, Chp. 8, pp. 449 - 516.
    • (1983) Handbook of Econometrics , vol.1 , pp. 449-516
    • Phillips, P.C.B.1
  • 21
    • 0346307687 scopus 로고    scopus 로고
    • Instrumental variables regression with weak instruments
    • Staiger, D., Stock, J. H. (1997). Instrumental variables regression with weak instruments. Econometrica 65: 557 - 586.
    • (1997) Econometrica , vol.65 , pp. 557-586
    • Staiger, D.1    Stock, J.H.2
  • 22
    • 0036790491 scopus 로고    scopus 로고
    • A survey of weak instruments and weak identification in generalized method of moments
    • Stock, J. H., Wright, J. H., Yogo, M. (2002). A survey of weak instruments and weak identification in generalized method of moments. Journal of Business and Economic Statistics 20: 518 - 529.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 518-529
    • Stock, J.H.1    Wright, J.H.2    Yogo, M.3
  • 23
    • 0346939047 scopus 로고    scopus 로고
    • Valid confidence intervals and inference in the presence of weak instruments
    • Zivot, E., Startz, R., Nelson, C. R. (1998). Valid confidence intervals and inference in the presence of weak instruments. International Economic Review 39: 1119 - 1144.
    • (1998) International Economic Review , vol.39 , pp. 1119-1144
    • Zivot, E.1    Startz, R.2    Nelson, C.R.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.