Article (Journal/Review)
Bootstrap validity for the score test when instruments may be weak
Date
2009Registration in:
0304-4076
10.1016/j.jeconom.2008.10.008
2-s2.0-63149101495
Author
Moreira, Marcelo J.
Porter, Jack R.
Suarez, Gustavo A.
Institutions
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. © 2008 Elsevier B.V.