Bootstrap Tests for Overidentification in Linear Regression Models

Bootstrap Tests for Overidentification in Linear Regression Models

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight mutually in...

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Bibliographic Details
Main Authors: Russell Davidson, James G. MacKinnon
Format: Article
Language:English
Published: MDPI AG 2015-12-01
Series:Econometrics
Subjects:
Sargan test
Basmann test
Anderson-Rubin test
weak instruments
Online Access:http://www.mdpi.com/2225-1146/3/4/825

Internet

http://www.mdpi.com/2225-1146/3/4/825

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