Browsing Documentos indexados pela Scopus by Author "Moreira, Marcelo J."

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Bootstrap validity for the score test when instruments may be weak

Moreira, Marcelo J.; Porter, Jack R.; Suarez, Gustavo A.
2009

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 ...
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2008

As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., ...