In this paper, we develop a test of the normality assumption of the errors using the residuals from a nonparametric kernel regression. Contrary to the existing tests based on the residuals from a parametric regression, our test is thus robust to misspecification of the regression function. The...

This paper studies robustness of bootstrap inference methods for instrumental variable (IV) regression models. We consider test statistics for parameter hypotheses based on the IV estimator and generalized method of trimmed moments (GMTM) estimator introduced by Čížek (2008, 2009), and compare...