A bootstrap approach to moment selection

DOI10.1111/j.1368-423X.2006.00176.xzbMath1088.62056OpenAlexW2145168921MaRDI QIDQ5469919

Atsushi Inoue

Publication date: 26 May 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00176.x

zbMATH Keywords

Edgeworth expansionsinstrumental variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Statistical tables (62Q05)

Related Items (5)

Bootstrap validity for the score test when instruments may be weak ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Second-order correctness of the blockwise bootstrap for stationary observations
• A Consistent Method for the Selection of Relevant Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Choosing the Number of Instruments
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• The bootstrap and Edgeworth expansion
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

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