Publications
Detailed Information
Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Seo Jeong | - |
dc.date.accessioned | 2024-05-02T06:07:51Z | - |
dc.date.available | 2024-05-02T06:07:51Z | - |
dc.date.created | 2024-05-02 | - |
dc.date.created | 2024-05-02 | - |
dc.date.created | 2024-05-02 | - |
dc.date.created | 2024-05-02 | - |
dc.date.created | 2024-05-02 | - |
dc.date.created | 2024-05-02 | - |
dc.date.issued | 2014-01 | - |
dc.identifier.citation | Journal of Econometrics, Vol.178, pp.398-413 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | https://hdl.handle.net/10371/200670 | - |
dc.description.abstract | I propose a nonparametric lid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function, which has been considered as critical for GMM. Regardless of model misspecification, the proposed bootstrap achieves the same sharp magnitude of refinements as the conventional bootstrap methods which establish asymptotic refinements by recentering in the absence of misspecification. The key idea is to link the misspecified bootstrap moment condition to the large sample theory of GMM under misspecification of Hall and Inoue (2003). Two examples are provided: combining data sets and invalid instrumental variables. (C) 2013 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.publisher | Elsevier BV | - |
dc.title | Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.jeconom.2013.05.008 | - |
dc.citation.journaltitle | Journal of Econometrics | - |
dc.identifier.wosid | 000329961000002 | - |
dc.identifier.scopusid | 2-s2.0-84889082611 | - |
dc.citation.endpage | 413 | - |
dc.citation.startpage | 398 | - |
dc.citation.volume | 178 | - |
dc.description.isOpenAccess | Y | - |
dc.contributor.affiliatedAuthor | Lee, Seo Jeong | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.subject.keywordPlus | FINITE-SAMPLE PROPERTIES | - |
dc.subject.keywordPlus | PANEL-DATA MODELS | - |
dc.subject.keywordPlus | EMPIRICAL LIKELIHOOD | - |
dc.subject.keywordPlus | GMM ESTIMATORS | - |
dc.subject.keywordPlus | MAXIMUM-LIKELIHOOD | - |
dc.subject.keywordPlus | SIZE DISTORTION | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordPlus | RESTRICTIONS | - |
dc.subject.keywordPlus | INFERENCE | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordAuthor | Nonparametric iid bootstrap | - |
dc.subject.keywordAuthor | Asymptotic refinement | - |
dc.subject.keywordAuthor | Edgeworth expansion | - |
dc.subject.keywordAuthor | Generalized method of moments | - |
dc.subject.keywordAuthor | Model misspecification | - |
- Appears in Collections:
- Files in This Item:
- There are no files associated with this item.
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.