A fast resample method for parametric and semiparametric models

DOI10.1016/J.JECONOM.2014.01.001MaRDI QIDQ469558zbMATH OpenOpenAlexFDO

Authors Timothy B. Armstrong, Marinho Bertanha, Han Hong

Publication date 11 November 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.01.001

zbMATH Keywords

bootstrapnonlinear modelssubsamplingscore function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

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Cites work

• A Simulation Estimator for Dynamic Models of Discrete Choice
• A bootstrap based on the estimating equations of the linear model
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• Continuity and differentiability of expected value functions in dynamic discrete choice models
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• Estimating Dynamic Models of Imperfect Competition
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Extremum estimation and numerical derivatives
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Introduction to empirical processes and semiparametric inference
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
• Pairwise-difference estimation of a dynamic optimization model
• Semiparametric estimation of Markov decision processes with continuous state space
• Sequential Estimation of Dynamic Discrete Games
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• The bootstrap for empirical processes based on stationary observations
• The costs of environmental regulation in a concentrated industry
• The estimating function bootstrap

Cited in

(9)

• A fast subsampling method for nonlinear dynamic models
• Estimation of dynamic discrete models from time aggregated data
• A simple resampling method by perturbing the minimand
• A higher-order correct fast moving-average bootstrap for dependent data
• Fast robust estimation of prediction error based on resampling
• Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
• Estimation and inference by stochastic optimization
• Sieve semiparametric two-step GMM under weak dependence
• Fast Generalized Linear Models by Database Sampling and One-Step Polishing

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