On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification

DOI10.1007/s00180-013-0447-0zbMath1306.62083OpenAlexW1569920444MaRDI QIDQ2259715

Rachida Ouysse

Publication date: 5 March 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-013-0447-0

zbMATH Keywords

Monte Carlo testmoving block bootstrapconsumption-based capital asset pricing modelcontinuously-updated GMMcriterion-based testfast double bootstrap approximationsize and power of a test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric statistical resampling methods (62G09)

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