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Bootstrap validity for the score test when instruments may be weak

Marcelo Moreira (), Jack R. Porter and Gustavo Suarez

Journal of Econometrics, 2009, vol. 149, issue 1, 52-64

Abstract: 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)
Date: 2009
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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