Moreira, Marcelo J.; Porter, Jack R.; Suarez, Gustavo A. - In: Journal of Econometrics 149 (2009) 1, pp. 52-64
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...