A bootstrap approach to moment selection

DOI10.1111/j.1368-423X.2006.00176.xzbMath1088.62056OpenAlexW2145168921MaRDI QIDQ5469919

Atsushi Inoue

Publication date: 26 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00176.x

zbMATH Keywords

Edgeworth expansionsinstrumental variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Statistical tables (62Q05)

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Cites Work

• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Second-order correctness of the blockwise bootstrap for stationary observations
• A Consistent Method for the Selection of Relevant Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Choosing the Number of Instruments
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• The bootstrap and Edgeworth expansion
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models