The optimal minimum distance (OMD) estimator for models of covariance structure is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample performance of the OMD estimator.
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Paper provided by University of Iowa, Department of Economics in its series Working Papers with number
96-13.
Length: 30 pages Date of creation: 1996 Date of revision: Handle: RePEc:uia:iowaec:96-13
Contact details of provider: Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242 Phone: (319) 335-0829 Fax: (319) 335-1956 Web page: http://tippie.uiowa.edu/economics/ More information through EDIRC
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Find related papers by JEL classification: C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation