Bootstrap Methods For Covariance Structures
The optimal minimum distance (OMD) estimator for models of covariance structures 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. The theory underlying the bootstrap's ability to reduce the bias of estimators and errors in the coverage probabilities of confidence intervals is summarized. The results of numerical experiments and an empirical example show that the bootstrap often essentially eliminates the bias of the OMD estimator. The finite-sample estimation efficiency of the bias-corrected OMD estimator often exceeds that of the EWMD estimator. Moreover, the true coverage probabilities of confidence intervals based on the OMD estimator with bootstrap critical values are very close to the nominal coverage probabilities.
|Date of creation:||11 Oct 1996|
|Date of revision:|
|Note:||Zipped using PKZIP v2.04, encoded using UUENCODE v5.15. Zipped file includes 1 file --ui9613.wpa (WordPerfect 5.1 file 32 pages)|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joseph G. Altonji & Lewis M. Segal, 1994.
"Small sample bias in GMM estimation of covariance structures,"
Working Paper Series, Macroeconomic Issues
94-8, Federal Reserve Bank of Chicago.
- Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 353-66, July.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small Sample Bias in GMM Estimation of Covariance Structures," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
- Abowd, John M & Card, David, 1987.
"Intertemporal Labor Supply and Long-term Employment Contracts,"
American Economic Review,
American Economic Association, vol. 77(1), pages 50-68, March.
- John M. Abowd & David Card, 1986. "Intertemporal Labor Supply and Long Term Employment Contracts," NBER Working Papers 1831, National Bureau of Economic Research, Inc.
- Koenker, Roger & Machado, José A.F. & Skeels, Christopher L. & Welsh, Alan H., 1994. "Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation," Econometric Theory, Cambridge University Press, vol. 10(01), pages 172-197, March.
- John M. Abowd & David Card, 1986.
"On the Covariance Structure of Earnings and Hours Changes,"
NBER Working Papers
1832, National Bureau of Economic Research, Inc.
- Abowd, John M & Card, David, 1989. "On the Covariance Structure of Earnings and Hours Changes," Econometrica, Econometric Society, vol. 57(2), pages 411-45, March.
- Robert E. Hall, 1987. "Consumption," NBER Working Papers 2265, National Bureau of Economic Research, Inc.
- Griliches, Zvi, 1979. "Sibling Models and Data in Economics: Beginnings of a Survey," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages S37-64, October.
- Behrman, Jere R & Rosenzweig, Mark R & Taubman, Paul, 1994. "Endowments and the Allocation of Schooling in the Family and in the Marriage Market: The Twins Experiment," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1131-74, December.
- Hall, Robert E & Mishkin, Frederic S, 1982.
"The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households,"
Econometric Society, vol. 50(2), pages 461-81, March.
- Robert E. Hall & Frederic S. Mishkin, 1980. "The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households," NBER Working Papers 0505, National Bureau of Economic Research, Inc.
- repec:cup:etheor:v:10:y:1994:i:1:p:172-97 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:9610003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.