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Bootstrap Confidence Sets with Weak Instruments

Davidson, Russell; MacKinnon, James G. - In: Econometric Reviews 33 (2014) 5-6, pp. 651-675

We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting <italic>t</italic> statistics or the...

Persistent link: https://www.econbiz.de/10010975491

Tests for model specification in the presence of alternative hypotheses : Some further results

MacKinnon, James G.; White, Halbert; Davidson, Russell - In: Journal of Econometrics 21 (1983) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10005052844

Reply to Ackerberg and Devereux and Blomquist and Dahlberg on 'The case against JIVE'

MacKinnon, James G.; Davidson, Russell - In: Journal of Applied Econometrics 21 (2006) 6, pp. 843-844

Persistent link: https://www.econbiz.de/10005582318

The fourth special issue on Computational Econometrics

Belsley, David A.; Davidson, Russell; Kontoghiorghes, … - In: Computational Statistics & Data Analysis 53 (2009) 6, pp. 1923-1924

Persistent link: https://www.econbiz.de/10005130710

Regression-based methods for using control variates in Monte Carlo experiments

Davidson, Russell; MacKinnon, James G. - In: Journal of Econometrics 54 (1992) 1-3, pp. 203-222

Persistent link: https://www.econbiz.de/10005228665

Convenient specification tests for logit and probit models

Davidson, Russell; MacKinnon, James G. - In: Journal of Econometrics 25 (1984) 3, pp. 241-262

Persistent link: https://www.econbiz.de/10005228801

Testing the specification of multivariate models in the presence of alternative hypotheses

Davidson, Russell; MacKinnon, James G. - In: Journal of Econometrics 23 (1983) 3, pp. 301-313

Persistent link: https://www.econbiz.de/10005228932

Artificial regressions and C ([alpha]) tests

Davidson, Russell; MacKinnon, James G. - In: Economics Letters 35 (1991) 2, pp. 149-153

Persistent link: https://www.econbiz.de/10005159134

Improving the reliability of bootstrap tests with the fast double bootstrap

Davidson, Russell; MacKinnon, James G. - In: Computational Statistics & Data Analysis 51 (2007) 7, pp. 3259-3281

Persistent link: https://www.econbiz.de/10005165792

The power of bootstrap and asymptotic tests

Davidson, Russell; MacKinnon, James G. - In: Journal of Econometrics 133 (2006) 2, pp. 421-441

Persistent link: https://www.econbiz.de/10005285575

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