Bootstrapping the GMM overidentification test under first-order underidentification
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Cites work
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Asymptotic Statistics
- Bootstrap consistency for general semiparametric \(M\)-estimation
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Bootstrapping general empirical measures
- Bootstrapping GMM estimators for time series
- Convergence of stochastic processes
- Detecting lack of identification in GMM
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- scientific article; zbMATH DE number 4029737 (Why is no real title available?)
- Identification and Lack of Identification
- Inconsistency of bootstrap: the Grenander estimator
- Inferring the rank of a matrix
- Introduction to empirical processes and semiparametric inference
- Large Sample Properties of Generalized Method of Moments Estimators
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Properties of moments of a family of GARCH processes
- Specification tests for partially identified models defined by moment inequalities
- Testing for common conditionally heteroskedastic factors
Cited in
(14)- The asymptotic properties of GMM and indirect inference under second-order identification
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- Inference on functionals under first order degeneracy
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Bootstrapping GMM estimators for time series
- On standard inference for GMM with local identification failure of known forms
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Efficiency bounds for semiparametric models with singular score functions
- Finite underidentification
- Bootstraps for dynamic panel threshold models
- Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models
- Reprint of: Finite underidentification
- GCov-based portmanteau test
- Simple and powerful GMM over-identification tests with accurate size
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