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弱工具变量下得分检验自助法的有效性AI 解读

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 theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the…

支持集依赖参数的参数化结构模型中的渐近效率AI 解读

In certain auction, search, and related models, the boundary of the support of the observed data depends on some of the parameters of interest. For such nonregular models, standard asymptotic distribution theory does not apply. Previous work has focused on characterizing the nonstandard limiting distributions of particular estimators in these models. In contrast, we study the problem of constructing efficient point estimators. We show that the maximum likelihood estimator is…