Wild Bootstrap Tests for IV Regression
By Russell Davidson, James G. MacKinnon. 2010
156 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/053eb8e0cf25d0d3f0efea27bd592fceea194bc1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- James G. MacKinnon
- Morten Ørregaard Nielsen
- D. Roodman
- Matthew D. Webb
- Russell Davidson
- F. Chiacchio
- Georgios Petropoulos
- David Pichler
Citations in the corpus
- Bootstrap inference in a linear equation estimated by instrumental variables (2008, background): “In Horowitz and Savin (2000), it is pointed out that, unless one is working with pivotal statistics, it is not in general possible to define an empirically relevant definition of the power of a test that does not have true level equal to its nominal level.”
- A Score Based Approach to Wild Bootstrap Inference (2012, unknown): “…to linear models where residuals are straightforward to obtain; see for example Hardle and Mammen (1993) for nonparametric regression, You and Chen (2006) for partially linear regression, Davidson and MacKinnon (2010) for IV regression and Cavaliere and Taylor (2008) for unit root inference.”
- The impact of industrial robots on EU employment and wages: A local labour market approach. Bruegel Working Paper Issue 02/18 April 2018 (2018, methodology): “Finally, to obtain consistent estimates of p-values and standard errors in the IV/2SLS specifications, we make use of the procedure of Davidson and MacKinnon (DM, 2010), called “wild restricted efficient bootstrap” (WRE), which extends the wild bootstrap of CGM (2008) to instrumental variables estim”
- Fast and wild: Bootstrap inference in Stata using boottest (2018, methodology): “Davidson and MacKinnon (2010) (DM) proposed an extension of the wild bootstrap to linear regression models estimated with instrumental variables.”
- Functional Causal Mediation Analysis With an Application to Brain Connectivity (2012, unknown): “This particular DGP has been studied extensively in the context of IV regression (Davidson and MacKinnon 2010) and shown to outperform other comparable bootstrap methods.”
- Thirty Years of Heteroskedasticity-Robust Inference (2013, methodology): “Davidson and MacKinnon (2010) proposed a wild bootstrap procedure for this case.”