Bootstrap validity for the score test when instruments may be weak

A-Tier
Journal: Journal of Econometrics
Year: 2009
Volume: 149
Issue: 1
Pages: 52-64

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:149:y:2009:i:1:p:52-64
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-26