Bootstrap validity for the score test when instruments may be weak

DOI10.1016/j.jeconom.2008.10.008zbMath1429.62065OpenAlexW2064763319MaRDI QIDQ302097

F. Blanchet-Sadri, M. Dambrine

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.008

zbMATH Keywords

identificationbootstrapEdgeworth expansion\(t\)-statisticinstrumental variable regressionnon-regular casescore statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items

Generalized empirical likelihood tests in time series models with potential identification failure, Bootstrap Confidence Sets with Weak Instruments, GEL statistics under weak identification, On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification, On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity, Bootstrap inference for instrumental variable models with many weak instruments, Applications of subsampling, hybrid, and size-correction methods, On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test, Near exogeneity, weak identification and specification testing: Some asymptotic results

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