Bootstrapping the GMM overidentification test under first-order underidentification

DOI10.1016/j.jeconom.2017.06.021zbMath1391.62052OpenAlexW570234618MaRDI QIDQ2405903

Prosper Dovonon, Sílvia Gonçalves

Publication date: 28 September 2017

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

Full work available at URL: https://cirano.qc.ca/files/publications/2014s-25.pdf

zbMATH Keywords

bootstrapGMMrank deficiencyGMM overidentification testsecond-order local identification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (6)

Finite underidentification ⋮ The asymptotic properties of GMM and indirect inference under second-order identification ⋮ Inference on functionals under first order degeneracy ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models ⋮ On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity ⋮ Efficiency bounds for semiparametric models with singular score functions

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