Bootstrap inference for misspecified moment condition models

DOI10.1007/s10463-017-0604-2zbMath1401.62071OpenAlexW2594213179MaRDI QIDQ1753973

Mihai C. Giurcanu, Presnell, Brett

Publication date: 29 May 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-017-0604-2

zbMATH Keywords

generalized method of momentsEdgeworth expansionsstandard bootstrapempirical likelihood bootstrapcentered bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items

Oracle GMM estimation for misspecified models via thresholding, Bootstrap inference for a class of non-regular estimators, Bootstrapping Lasso-type estimators in regression models

Uses Software

• R
• emplik
• plm

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
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• Empirical likelihood ratio confidence regions
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• Analysis of Panel Data
• Asymptotic Statistics
• Intentionally Biased Bootstrap Methods
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• Combining Micro and Macro Data in Microeconometric Models
• Real Analysis and Probability
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• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The bootstrap and Edgeworth expansion