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Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
Abstract
Tests based on generalized-method-of-moments estimators often have true levels that differ greatly from their nominal levels when asymptotic critical values are used. This paper gives conditions under which the bootstrap provides asymptotic refinements to the critical values of t tests and the test of overidentifying restrictions. Particular attention is given to the case of dependent data. It is shown that, with such data, the bootstrap must sample blocks of data and that the formulae for the bootstrap versions of the test statistics differ from the formulae that apply with the original data. Copyright 1996 by The Econometric Society.
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Citations
Cited by
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Income Variance Dynamics and Heterogeneity
Meghir, C., & Pistaferri, L. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00476.x · Cited by 622
Consistent Testing for Stochastic Dominance under General Sampling Schemes
Linton, O., Maasoumi, E., & Whang, Y.-J. (2005) · Review of Economic Studies · doi:10.1111/j.1467-937x.2005.00350.x · Cited by 512
Income variance dynamics and heterogenity
Pistaferri, L., & Meghir, C. (2001) · Working Paper Series · doi:10.1920/wp.ifs.2001.0107 · Cited by 438
Metadata
- Authors
- Hall, P., & Horowitz, J. L.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1996-07
- Volume
- 64
- Issue
- 4
- Pages
- 891
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2043967969
- Cited by
- 468
- References
- 0
- FWCI
- 7.52
- Type
- journal article
- Language
- en
- Open access
- closed
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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
