Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators

From MaRDI portal
Publication:5474962

DOI10.1111/1468-0262.00271zbMath1104.62315OpenAlexW2109216286MaRDI QIDQ5474962

Donald W. K. Andrews

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00271



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (42)

Factor-driven two-regime regressionMaximum likelihood and the bootstrap for nonlinear dynamic modelsBootstrapping GMM estimators for time seriesA fast subsampling method for nonlinear dynamic modelsBootstrap conditional distribution tests in the presence of dynamic misspecificationBootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatednessEvaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical dataPredictive density and conditional confidence interval accuracy testsBootstrap refinements for QML estimators of the GARCH(1,1) parametersPseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision modelsWEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICSBootstrap Methods for Time SeriesFixed-smoothing asymptotics for time seriesBootstrapping the GMM overidentification test under first-order underidentificationEfficient bootstrap with weakly dependent processesRESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENTA higher-order correct fast moving-average bootstrap for dependent dataBootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series ModelsEstimation and inference by stochastic optimizationA bootstrap procedure for panel data sets with many cross-sectional unitsBOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELSTHE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONSA fast resample method for parametric and semiparametric modelsTRANSFORMATIONS FOR MULTIVARIATE STATISTICSBootstrap inference for misspecified moment condition modelsEFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELSHigher order properties of the wild bootstrap under misspecificationEmpirical likelihood block bootstrappingOn the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identificationA doubly corrected robust variance estimator for linear GMMBLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAPAsymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimatorsAsymptotic refinements of a misspecification-robust bootstrap for GEL estimatorsRobust subsamplingA TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELSBootstrap methods for dependent data: a reviewA bootstrap approach to moment selectionParallel Bootstrap and Optimal Subsample Lengths in Smooth Function ModelsDiscussion on: ``Bootstrap methods for dependent data: a reviewImproved nonparametric confidence intervals in time series regressionsQuasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic modelsBootstrap inference for penalized GMM estimators with oracle properties




This page was built for publication: Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators