Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference.
Generalized method of moments (GMM) has been an important innovation in econometrics. Its usefulness has motivated a search for good inference procedures based on GMM. This article presents a novel method of bootstrapping for GMM based on resampling from the empirical likelihood distribution that imposes the moment restrictions. We show that this approach yields a large-sample improvement and is efficient, and give examples. We also discuss the development of GMM and other recent work on improved inference.
Year of publication: |
2002
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Authors: | Brown, Bryan W ; Newey, Whitney K |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 20.2002, 4, p. 507-17
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Publisher: |
American Statistical Association |
Saved in:
Saved in favorites
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