Bootstrap Validity for the Score Test When Instruments May Be Weak

  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},
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

From This Paper

Figures, tables, and topics from this paper.


Publications referenced by this paper.
Showing 1-10 of 38 references

GMM, Efficient Booststrapping, and Improved Inference,

  • B. Brown, W. Newey
  • Journal of Business and Economic Statistics,
  • 2004
Highly Influential
5 Excerpts

The Bootstrap,

  • J. Horowitz
  • Handbook of Econometrics, ed
  • 2001
Highly Influential
4 Excerpts

Inconsistency of the Bootstrap When a Parameter is on the Boundary of the Parameter Space,

  • D.W.K. Andrews
  • Econometrica
  • 2000
Highly Influential
6 Excerpts

On the Validity of the Formal Edgeworth Expansion,

  • R. N. Bhattacharya, J. Ghosh
  • Annals of Statistics,
  • 1978
Highly Influential
6 Excerpts

Refinements of the Multidimensional Central Limit Theorem and Applications,

  • R. N. Bhattacharya
  • Annals of Probability,
  • 1977
Highly Influential
6 Excerpts

Approximate Power Functions for Some Robust Tests of Regression Coefficients,

  • T. J. Rothenberg
  • Econometrica
  • 1988
Highly Influential
4 Excerpts

Generalized empirical likelihood inference for nonlinear and time series models under weak identification

  • T. Otsu
  • Econometric Theory
  • 2006

Similar Papers

Loading similar papers…