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Bootstrap validity for the score test when instruments may be weak

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Author Info
Moreira, Marcelo J.
Porter, Jack R.
Suarez, Gustavo A.

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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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File URL: http://www.sciencedirect.com/science/article/B6VC0-4TVHSV0-2/2/25f52e1c2bc2952429f2fe0262df3cce
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Publisher Info
Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 149 (2009)
Issue (Month): 1 (April)
Pages: 52-64
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Handle: RePEc:eee:econom:v:149:y:2009:i:1:p:52-64

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Web page: http://www.elsevier.com/locate/jeconom

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Related research
Keywords: Bootstrap t-statistic Score statistic Identification Non-regular case Edgeworth expansion Instrumental variable regression;

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This page was last updated on 2009-10-16.

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