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

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

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Bootstrapping GMM estimators for time series
• Bootstrap consistency for general semiparametric \(M\)-estimation
• Bootstrapping general empirical measures
• Inconsistency of bootstrap: the Grenander estimator
• Properties of moments of a family of GARCH processes
• Inferring the rank of a matrix
• Specification tests for partially identified models defined by moment inequalities
• Introduction to empirical processes and semiparametric inference
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Identification and Lack of Identification
• Asymptotic Statistics
• DETECTING LACK OF IDENTIFICATION IN GMM
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Testing for Common Conditionally Heteroskedastic Factors
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Factor Stochastic Volatility in Mean Models: A GMM Approach
• Convergence of stochastic processes