Bootstrap validity for the score test when instruments may be weak |
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Authors: | Marcelo J Moreira Jack R Porter Gustavo A Suarez |
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Institution: | 1. Columbia University, United States;2. FGV/EPGE, Brazil;3. University of Wisconsin, United States;4. Federal Reserve Board, United States |
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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. |
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Keywords: | C12 C31 |
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