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A bootstrap approach to moment selection

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Author Info

  • Atsushi Inoue

Abstract

This paper proposes a bootstrap-based procedure for selecting the best moment conditions among a set of correctly specified moment conditions. The proposed method can be motivated by Edgeworth expansions and chooses moment conditions that minimize the approximate coverage error of confidence intervals and hypothesis tests for parameters. Because of the analytical intractability of Edgeworth expansions, we estimate the coverage error by the bootstrap. The proposed method can be applied to a wide class of estimators for possibly non-linear and possibly dynamic models. We investigate the small sample performance of the proposed method in Monte Carlo experiments. Copyright Royal Economic Society 2006 Published by Blackwell Publishing Ltd, 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA, 02148, USA.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 9 (2006)
Issue (Month): 1 (03)
Pages: 48-75

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Handle: RePEc:ect:emjrnl:v:9:y:2006:i:1:p:48-75

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Cited by:
  1. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," Harvard Institute of Economic Research Working Papers 2048, Harvard - Institute of Economic Research.
  2. Moreira, Marcelo J. & Porter, Jack R. & Suarez, Gustavo A., 2009. "Bootstrap validity for the score test when instruments may be weak," Journal of Econometrics, Elsevier, vol. 149(1), pages 52-64, April.
  3. Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
  4. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Canay, Ivan A., 2010. "Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel," Journal of Econometrics, Elsevier, vol. 156(2), pages 284-303, June.

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