Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097093 | Journal of Econometrics | 2009 | 13 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Marcelo J. Moreira, Jack R. Porter, Gustavo A. Suarez,