This paper sheds new light on subset hypothesis testing in linear structural models in which instrumental variables (IVs) can be arbitrarily weak. For the first time, we investigate the validity of the bootstrap for Anderson-Rubin (AR) type tests of hypotheses specified on a subset of structural...

It is known that Efron's resampling bootstrap of the mean of random variables with common distribution in the domain of attraction of the stable laws with infinite variance is not consistent, in the sense that the limiting distribution of the bootstrap mean is not the same as the limiting...