Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
نویسندگان
چکیده
منابع مشابه
Asymptotic Refinements of a Misspecification-Robust i.i.d. Bootstrap for Generalized Method of Moments Estimators
This paper proposes a misspecification-robust iid bootstrap for the generalized method of moment estimators and establishes asymptotic refinements of the symmetric percentile-t bootstrap confidence interval. The paper extends results of Hall and Horowitz (1996) and Andrews (2002). In particular, the proposed method does not involve recentering the moment function in implementing the bootstrap, ...
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I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on the generalized method of moments (GMM) estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the bootstrap moment function, which has been considered as a critical procedure for bootstrapping GMM. The elimination of the rece...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2014
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.05.008