Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference Export

@article{brown:newey:2002, 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.}, author = {Brown, B. W. and Newey, W. K.}, citeulike-article-id = {2970806}, citeulike-linkout-0 = {http://www.ingentaconnect.com/content/asa/jbes/2002/00000020/00000004/art00009}, issn = {0735-0015}, journal = {Journal of Business \&\#38; Economic Statistics}, keywords = {asymptotics, bootstrap, econometric\_theory, gmm}, pages = {507--517}, posted-at = {2008-07-07 20:14:10}, priority = {2}, publisher = {American Statistical Association}, title = {Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference}, url = {http://www.ingentaconnect.com/content/asa/jbes/2002/00000020/00000004/art00009} }

TY - JOUR ID - brown:newey:2002 L3 - citeulike-article-id:2970806 N2 - 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. JF - Journal of Business & Economic Statistics SN - 0735-0015 EP - 517 TI - Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference PB - American Statistical Association SP - 507 KW - asymptotics KW - bootstrap KW - econometric_theory KW - gmm AU - Brown, BW AU - Newey, WK UR - http://www.ingentaconnect.com/content/asa/jbes/2002/00000020/00000004/art00009 ER -