On the inconsistency of nonparametric bootstraps for the subvector Anderson–Rubin test
Bootstrap procedures based on instrumental variable (IV) estimates or t-statistics are generally invalid when the instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference based on the Anderson–Rubin (AR) statistic, Wang and Doko...
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| Format: | Journal Article |
| Language: | English |
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2022
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| Online Access: | https://hdl.handle.net/10356/154887 |