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Bootstrap Inference for Partially Linear Model with Many Regressors

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  • Wang, Wenjie

Abstract

In this note, for the case that the disturbances are conditional homoskedastic, we show that a properly re-scaled residual bootstrap procedure is able to consistently estimate the limiting distribution of a series estimator in the partially linear model even when the number of regressors is of the same order as the sample size. Monte Carlo simulations show that the bootstrap procedure has superior �finite sample performance than asymptotic approximations when the sample size is small and the number of regressors is close to the sample size.

Suggested Citation

  • Wang, Wenjie, 2021. "Bootstrap Inference for Partially Linear Model with Many Regressors," MPRA Paper 106391, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106391
    as

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    File URL: https://mpra.ub.uni-muenchen.de/106391/1/MPRA_paper_106391.pdf
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    References listed on IDEAS

    as
    1. Cattaneo, Matias D. & Jansson, Michael & Newey, Whitney K., 2018. "Alternative Asymptotics And The Partially Linear Model With Many Regressors," Econometric Theory, Cambridge University Press, vol. 34(2), pages 277-301, April.
    2. Kaffo, Maximilien & Wang, Wenjie, 2017. "On bootstrap validity for specification testing with many weak instruments," Economics Letters, Elsevier, vol. 157(C), pages 107-111.
    3. Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
    4. Hansen, Christian & Hausman, Jerry & Newey, Whitney, 2008. "Estimation With Many Instrumental Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 398-422.
    5. Wang, Wenjie, 2020. "On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity," MPRA Paper 104858, University Library of Munich, Germany.
    6. Donald, S. G. & Newey, W. K., 1994. "Series Estimation of Semilinear Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 30-40, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bootstrap approximation; Partially linear model; Many regressors asymptotics;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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