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Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference

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  • Brown, Bryan W
  • Newey, Whitney K

Abstract

Generalized method of moments (GMM) has been an important innovation in econometrics. Its usefulness has motivated a search for good inference procedures based on GMM. This article presents a novel method of bootstrapping for GMM based on resampling from the empirical likelihood distribution that imposes the moment restrictions. We show that this approach yields a large-sample improvement and is efficient, and give examples. We also discuss the development of GMM and other recent work on improved inference.

Suggested Citation

  • Brown, Bryan W & Newey, Whitney K, 2002. "Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 507-517, October.
    • Handle: RePEc:bes:jnlbes:v:20:y:2002:i:4:p:507-17
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