Robustness Of Bootstrap In Instrumental Variable Regression

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, the authors compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take arbitrarily large values. The implied probabilities are derived from an information theoretic projection from the empirical distribution to a set of distributions satisfying orthogonality conditions for instruments.

Provided by: Yale University Topic: Big Data Date Added: Apr 2011 Format: PDF

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