Bootstrap inference in Instrumental Variables with gretl

Riccardo Ievoli, Lucio Palazzo
(2019) In: Proceedings of the International Conference on the GNU Regression, Econometrics and Time Series Library. Naples, Italy. 13-14 June 2019. pp. 45-54, fedOA

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In this paper we implement bootstrap in conventional instrumental variables estimations using gretl and compare the performance of several methods through simulation study and an empirical dataset coming from the seminal paper of Acemoglu et al. (2001).