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Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference

Citations

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Cited by:

  1. Lee, Seojeong, 2016. "Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators," Journal of Econometrics, Elsevier, vol. 192(1), pages 86-104.
  2. Dovonon, Prosper & Gonçalves, Sílvia, 2017. "Bootstrapping the GMM overidentification test under first-order underidentification," Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
  3. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  4. Firmin Doko Tchatoka & Robert Garrard & Virginie Masson, 2017. "Testing for Stochastic Dominance in Social Networks," School of Economics and Public Policy Working Papers 2017-02, University of Adelaide, School of Economics and Public Policy.
  5. Ejarque, Joao & Portugal, Pedro, 2007. "Labor Adjustment Costs in a Panel of Establishments: A Structural Approach," IZA Discussion Papers 3091, Institute of Labor Economics (IZA).
  6. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
  7. repec:exl:29stat:v:20:y:2019:i:3:p:1-30 is not listed on IDEAS
  8. Ming‐Yueh Huang & Chiung‐Yu Huang, 2023. "Improved semiparametric estimation of the proportional rate model with recurrent event data," Biometrics, The International Biometric Society, vol. 79(3), pages 1686-1700, September.
  9. Mihai Giurcanu & Brett Presnell, 2018. "Bootstrap inference for misspecified moment condition models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 605-630, June.
  10. Schröder, Marcel, 2013. "Should developing countries undervalue their currencies?," Journal of Development Economics, Elsevier, vol. 105(C), pages 140-151.
  11. Rulon D. Pope & Jeffrey T. LaFrance & Richard E. Just, 2007. "Imperfect Price Deflation in Production Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(3), pages 738-754.
  12. Nicky L. Grant & Richard J. Smith, 2018. "GEL-Based Inference from Unconditional Moment Inequality Restrictions," Economics Discussion Paper Series 1802, Economics, The University of Manchester.
  13. Giurcanu, Mihai C., 2012. "Bootstrapping in non-regular smooth function models," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 78-93.
  14. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers CWP23/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
  16. Verma Vivek & Nath Dilip C., 2019. "Characterization Of The Sum Of Binomial Random Variables Under Ranked Set Sampling," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 1-29, September.
  17. Jiafeng Chen & Xiaohong Chen & Elie Tamer, 2021. "Efficient Estimation in NPIV Models: A Comparison of Various Neural Networks-Based Estimators," Papers 2110.06763, arXiv.org, revised Oct 2022.
  18. Smith, Richard J., 2011. "Gel Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1192-1235, December.
  19. Joachim Inkmann, 2010. "Estimating Firm Size Elasticities of Product and Process R&D," Economica, London School of Economics and Political Science, vol. 77(306), pages 384-402, April.
  20. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
  21. Russell Davidson, 2010. "Innis Lecture: Inference on income distributions," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 43(4), pages 1122-1148, November.
  22. Giuseppe Ragusa, 2011. "Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 406-456, August.
  23. Russell Davidson, 2007. "Bootstrapping econometric models (in Russian)," Quantile, Quantile, issue 3, pages 13-36, September.
  24. Vivek Verma & Dilip C. Nath, 2019. "Characterization Of The Sum Of Binomial Random Variables Under Ranked Set Sampling," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 1-29, September.
  25. Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
  26. Chen, Ruxin & Tabri, Rami V., 2019. "Jackknife Empirical Likelihood for Inequality Constraints on Regular Functionals," Working Papers 2019-07, University of Sydney, School of Economics, revised Sep 2019.
  27. Canay, Ivan A., 2010. "EL inference for partially identified models: Large deviations optimality and bootstrap validity," Journal of Econometrics, Elsevier, vol. 156(2), pages 408-425, June.
  28. 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.
  29. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
  30. Prosper Dovonon, 2016. "Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 465-514, April.
  31. Ramalho, Joaquim J.S., 2006. "Bootstrap bias-adjusted GMM estimators," Economics Letters, Elsevier, vol. 92(1), pages 149-155, July.
  32. repec:cep:stiecm:/2014/572 is not listed on IDEAS
  33. Seojeong Lee, 2018. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 400-410, July.
  34. Xuexin Wang, 2020. "A new class of tests for overidentifying restrictions in moment condition models," Econometric Reviews, Taylor & Francis Journals, vol. 39(5), pages 495-509, May.
  35. Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
  36. Matias D. Cattaneo & Michael Jansson, 2018. "Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency," Econometrica, Econometric Society, vol. 86(3), pages 955-995, May.
  37. Arvanitis, Stelios & Post, Thierry & Potì, Valerio & Karabati, Selcuk, 2021. "Nonparametric tests for Optimal Predictive Ability," International Journal of Forecasting, Elsevier, vol. 37(2), pages 881-898.
  38. Gad Allon & Awi Federgruen & Margaret Pierson, 2011. "How Much Is a Reduction of Your Customers' Wait Worth? An Empirical Study of the Fast-Food Drive-Thru Industry Based on Structural Estimation Methods," Manufacturing & Service Operations Management, INFORMS, vol. 13(4), pages 489-507, October.
  39. Yuichi Kitamura, 2020. "A Comment on: “On the Informativeness of Descriptive Statistics for Structural Estimates” by Isaiah Andrews, Matthew Gentzkow, and Jesse M. Shapiro," Econometrica, Econometric Society, vol. 88(6), pages 2265-2269, November.
  40. Ramalho Joaquim J.S., 2005. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-20, March.
  41. Madeira, João & Palma, Nuno, 2018. "Measuring monetary policy deviations from the Taylor rule," Economics Letters, Elsevier, vol. 168(C), pages 25-27.
  42. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
  43. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers 23/18, Institute for Fiscal Studies.
  44. Marcel Schroder, 2013. "Should developing countries undervalue their currencies?," Departmental Working Papers 2013-12, The Australian National University, Arndt-Corden Department of Economics.
  45. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
  46. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
  47. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  48. Tabri, Rami V., 2015. "Empirical Likelihood for Robust Poverty Comparisons," Working Papers 2015-02, University of Sydney, School of Economics, revised May 2015.
  49. Tenglong Li & Jordan Lawson, 2021. "A generalized bootstrap procedure of the standard error and confidence interval estimation for inverse probability of treatment weighting," Papers 2109.00171, arXiv.org.
  50. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
  51. Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton, 2017. "Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 23-41, March.
  52. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
  53. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
  54. Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 86-100.
  55. Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
  56. Wong, Heung & Liu, Feng & Chen, Min & Ip, Wai Cheung, 2009. "Empirical likelihood based diagnostics for heteroscedasticity in partial linear models," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3466-3477, July.
  57. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
  58. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
  59. Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  60. Mihai C. Giurcanu, 2017. "Oracle M-Estimation for Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 479-504, May.
  61. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
  62. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
  63. Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
  64. Jing Cheng & Dylan S. Small, 2021. "Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero," Biometrics, The International Biometric Society, vol. 77(4), pages 1187-1201, December.
  65. Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
  66. Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton, 2014. "Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England," Economics Discussion Paper Series 1401, Economics, The University of Manchester.
  67. Chen, Song Xi & Cui, Hengjian, 2007. "On the second-order properties of empirical likelihood with moment restrictions," Journal of Econometrics, Elsevier, vol. 141(2), pages 492-516, December.
  68. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
  69. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  70. Joshua Angrist & Ivan Fernandez-Val, 2010. "ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework," NBER Working Papers 16566, National Bureau of Economic Research, Inc.
  71. Chen, Ruxin & Tabri, Rami V., 2021. "Jackknife empirical likelihood for inequality constraints on regular functionals," Journal of Econometrics, Elsevier, vol. 221(1), pages 68-77.
  72. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
  73. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
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