Bootstrap Validity for the Score Test When Instruments May Be Weak

@inproceedings{Moreira2005BootstrapVF,
  title={Bootstrap Validity for the Score Test When Instruments May Be Weak},
  author={Marcelo Jovita Moreira and Jack R. Porter and Gustavo Adolfo Hernandez Suarez},
  year={2005}
}
It is well-known that size-adjustments based on bootstrapping the tstatistic 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… CONTINUE READING

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