Bootstrap validity for the score test when instruments may be weak

DOI10.1016/J.JECONOM.2008.10.008zbMATH Open1429.62065OpenAlexW2064763319MaRDI QIDQ302097FDOQ302097

Authors: Marcelo J. Moreira, Jack R. Porter, Gustavo A. Suarez 

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

Recommendations

• On bootstrap validity for specification tests with weak instruments
• On bootstrap validity for specification testing with many weak instruments
• Bootstrap inference for instrumental variable models with many weak instruments
• Bootstrap inference in a linear equation estimated by instrumental variables
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

zbMATH Keywords

bootstrap\(t\)-statisticidentificationEdgeworth expansionscore statisticnon-regular caseinstrumental variable regression

Mathematics Subject Classification ID

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

Cites Work

• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• Instrumental Variables Regression with Weak Instruments
• On the validity of the formal Edgeworth expansion
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Title not available (Why is that?)
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• GMM with Weak Identification
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The bootstrap and Edgeworth expansion
• A method for simulating non-normal distributions
• Convex Analysis
• Some asymptotic theory for the bootstrap
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Title not available (Why is that?)
• Handbook of econometrics. Vol. 5
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• Bootstrapping Realized Volatility
• Refinements of the multidimensional central limit theorem and applications
• Asymptotic Approximations to Distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap Sample Size in Nonregular Cases
• Bootstrapping and empirical edgeworth expansions in multiple linear regression models
• A bootstrap approach to moment selection
• Edgeworth expansions for bootstrapping regression models
• Edgeworth expansion in regression models

Cited In (12)

• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Applications of subsampling, hybrid, and size-correction methods
• On bootstrap validity for specification testing with many weak instruments
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Generalized empirical likelihood tests in time series models with potential identification failure
• Bootstrap inference for instrumental variable models with many weak instruments
• Bootstrap confidence sets with weak instruments
• 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 the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
• On bootstrap validity for specification tests with weak instruments
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• GEL statistics under weak identification

This page was built for publication: Bootstrap validity for the score test when instruments may be weak

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q302097)