This note studies the asymptotic validity of bootstrapping the test of overidentifying restrictions under many …

variable (IV) regression, we show that an unstudentized wild bootstrap test based on IV estimators such as the two-stage least … unstudentized wild bootstrap test generated by our procedure is fully robust to weak instrument in the sense that its limiting null … shared by its studentized version; the wild bootstrap test that is based on the t-test statistic can have serious size …

(2010) shows that the second-stage t-test – based on the outcome of a Durbin-Wu-Hausman type pretest for exogeneity in the …-stage test with correct asymptotic size. Monte Carlo simulations confirm our theoretical findings. In particular, our proposed … hybrid method achieves remarkable power gains over the 2SLS-based t-test, especially when IVs are not very strong. …

(2010) shows that the second-stage t-test – based on the outcome of a Durbin-Wu-Hausman type pretest for exogeneity in the … uniform validity of this hybrid bootstrap under conditional heteroskedasticity in the sense that it yields a two-stage test … method achieves remarkable power gains over the 2SLS-based t-test, especially when IVs are not very strong. …

) shows that the second-stage t-test – based on the outcome of a Durbin-Wu-Hausman type pretest for exogeneity in the first … gains over the standard 2SLS-based t-test in many settings, especially when the identification is not strong. …

instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference …

(2010) shows that the second-stage t-test– based on the outcome of a Durbin- Wu-Hausman type pretest for exogeneity in the … establish uniform validity of this hybrid bootstrap in the sense that it yields a two-stage test with correct asymptotic size … power gains over the 2SLS-based t-test, especially when IVs are not very strong. …