Bootstrap validity for the score test when instruments may be weak
Bootstrap validity for the score test when instruments may be weak
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当仪器可能较弱时，分数测试的引导有效性
DOI：
10.1016/j.jeconom.2008.10.008
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发表时间：
2009
影响因子：
6.3
通讯作者：
Gustavo A. Suarez
中科院分区：
文献类型：
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作者：
Marcelo J. Moreira;J. Porter;Gustavo A. Suarez
众所周知，当工具与内生解释变量相关性较弱时，基于自举 t 统计量的规模调整效果不佳。在本文中，我们提供了保证分数统计引导程序有效性的理论证明。该理论并不遵循标准结果，因为得分统计量不是样本均值的平滑函数，并且当工具与解释变量不相关时，某些参数不能一致地估计。
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.