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On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
Wang, Wenjie - In: Economics letters 191 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012508550
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On bootstrap validity for subset Anderson-Rubin test in IV regressions
Doko Tchatoka, Firmin; Wang, Wenjie - 2015
Persistent link: https://www.econbiz.de/10010528653
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On bootstrap validity for specification testing with many weak instruments
Melou, Maximilien Kaffo; Wang, Wenjie - In: Economics letters 157 (2017), pp. 107-111
Persistent link: https://www.econbiz.de/10011847324
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Bootstrap inference for instrumental variable models with many weak instruments
Wang, Wenjie; Melou, Maximilien Kaffo - In: Journal of econometrics 192 (2016) 1, pp. 231-268
Persistent link: https://www.econbiz.de/10011617149
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On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
Wang, Wenjie; Doko Tchatoka, Firmin - In: Journal of econometrics 207 (2018) 1, pp. 188-211
Persistent link: https://www.econbiz.de/10012116230
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Uniform inference after pretesting for exogeneity
Doko Tchatoka, Firmin; Wang, Wenjie - 2020
Persistent link: https://www.econbiz.de/10012426283
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On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test
Wang, Wenjie - 2020
Bootstrap procedures based on instrumental variable (IV) estimates or t-statistics are generally invalid when the instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference based on the Anderson-Rubin (AR) statistic, Wang and...
Persistent link: https://www.econbiz.de/10012839520
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Wild bootstrap inference for instrumental variables regressions with weak and few clusters
Wang, Wenjie; Zhang, Yichong - In: Journal of econometrics 241 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015075142