منابع مشابه
Robust inference with GMM estimators
The local robustness properties of generalized method of moments (GMM) estimators and of a broad class of GMM based tests are investigated in a uni"ed framework. GMM statistics are shown to have bounded in#uence if and only if the function de"ning the orthogonality restrictions imposed on the underlying model is bounded. Since in many applications this function is unbounded, it is useful to hav...
متن کاملThe Biased-bootstrap for Gmm Models
In this talk, I present some theoretical and empirical properties of the uniform and biased-bootstrap for generalized method of moments (GMM) models. The version of the biased-bootstrap used in this paper is a form of weighted bootstrap with weights chosen to satisfy some constraints imposed by the model. A typical biased-bootstrap resample is obtained by resampling from a member within a pseud...
متن کاملAsymptotic Bias for Gmm and Gel Estimators with Estimated Nuisance Parameters
This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bia...
متن کاملBootstrapping GMM estimators for time series
This paper considers the bootstrap for the GMM estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. When moment functions are uncorrelated after finite lags, Hall and Horowitz, [1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891–916] showed that errors in the rejection probabilit...
متن کاملThe Empirical Saddlepoint Approximation for GMM Estimators
The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions. The empirical saddlepoint distribution permits asymmetry, non-normal tails, and multiple modes. If identification assumptions are satisfied, the empirical saddlepoint distribution converges to the familiar a...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2006
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2006.01.026