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Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators

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  • Hall, Peter
  • Horowitz, Joel L

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.

Suggested Citation

  • Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  • Handle: RePEc:ecm:emetrp:v:64:y:1996:i:4:p:891-916
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