Robustness of Bootstrap in Instrumental Variable Regression
Robustness of Bootstrap in Instrumental Variable Regression
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 Čížek's , P. ( 2008 ). General trimmed estimation: Robust approach to …