Empirical likelihood block bootstrapping

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the problem, i...

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Veröffentlicht in:	Journal of econometrics 2011-04, Vol.161 (2), p.110-121
Hauptverfasser:	Allen, Jason, Gregory, Allan W., Shimotsu, Katsumi
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Block bootstrap Bootstrap mechanism Bootstrap method Distribution Distribution theory Econometrics Empirical likelihood Estimation Exact sciences and technology Generalized method of moments Generalized methods of moments Generalized methods of moments Empirical likelihood Block bootstrap Insurance, economics, finance Mathematics Maximum likelihood method Model testing Monte Carlo simulation Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Parameter estimation Parametric inference Probability and statistics Probability theory Regression analysis Sciences and techniques of general use Statistical inference Statistical models Statistics Studies
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