Bootstrap bias-adjusted GMM estimators
The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an instrumental variable framework using Monte Carlo analysis. Promising results were found for the two bootstrap estimators suggested in the paper.
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References listed on IDEAS
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- Whitney K. Newey & Richard J. Smith, 2004.
"Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators,"
Econometric Society, vol. 72(1), pages 219-255, 01.
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