Bootstrap validity for the score test when instruments may be weak
Marcelo Moreira (),
Jack R. Porter and
Journal of Econometrics, 2009, vol. 149, issue 1, 52-64
It is well-known that size adjustments based on bootstrapping the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof that guarantees the validity of the bootstrap for the score statistic. This theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the instruments are uncorrelated with the explanatory variable.
Keywords: Bootstrap; t-statistic; Score; statistic; Identification; Non-regular; case; Edgeworth; expansion; Instrumental; variable; regression (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:149:y:2009:i:1:p:52-64
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