Bootstrapping GMM estimators for time series
نویسندگان
چکیده
منابع مشابه
Bootstrapping 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 کاملKernel Weighted GMM Estimators for Linear Time Series Models
This paper analyzes the higher order asymptotic properties of Generalized Method of Moments (GMM) estimators for linear time series models using many lags as instruments. A data dependent moment selection method based on minimizing the approximate mean squared error is developed. In addition, a new version of the GMM estimator based on kernel weighted moment conditions is proposed. It is shown ...
متن کاملM-estimators as GMM for Stable Laws Discretizations
This paper is devoted to "Some Discrete Distributions Generated by Standard Stable Densities" (in short, Discrete Stable Densities). The large-sample properties of M-estimators as obtained by the "Generalized Method of Moments" (GMM) are discussed for such distributions. Some corollaries are proposed. Moreover, using the respective results we demonstrate the large-sample pro...
متن کاملBootstrapping Z Estimators
We prove a general bootstrap theorem for possibly in nite dimensional Z estimators which builds on the recent in nite dimensional Z theorem due to Van der Vaart Our result extends nite dimensional results of this type for the bootstrap due to Arcones and Gin e Lele and Newton and Raftery We sketch three examples of models with in nite dimensional parameter spaces as applicatons of our general t...
متن کاملOrthogonal samples for estimators in time series
Inference for statistics of a stationary time series often involve nuisance parameters and sampling distributions that are difficult to estimate. In this paper, we propose the method of orthogonal samples, which can be used to address some of these issues. For a broad class of statistics, an orthogonal sample is constructed through a slight modification of the original statistic, such that it s...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.06.004