| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0302 |
| 来源ID | Technical Working Paper 0302 |
| Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak | |
| Marcelo J. Moreira; Jack R. Porter; Gustavo A. Suarez | |
| 发表日期 | 2004-11-08 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | It is well-known that size-adjustments based on Edgeworth expansions for the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. This paper shows, however, that the lack of Edgeworth expansions and bootstrap validity are not tied to the weak instrument framework, but instead depends on which test statistic is examined. In particular, Edgeworth expansions are valid for the score and conditional likelihood ratio approaches, even when the instruments are uncorrelated with the endogenous explanatory variable. Furthermore, there is a belief that the bootstrap method fails when instruments are weak, since it replaces parameters with inconsistent estimators. Contrary to this notion, we provide a theoretical proof that guarantees the validity of the bootstrap for the score test, as well as the validity of the conditional bootstrap for many conditional tests. Monte Carlo simulations show that the bootstrap actually decreases size distortions in both cases. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0302 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568515 |
| 推荐引用方式 GB/T 7714 | Marcelo J. Moreira,Jack R. Porter,Gustavo A. Suarez. Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0302.pdf（374KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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