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Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

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  • Joachim Inkmann

    (University of Konstanz)

Abstract

This paper compares conventional GMM estimators to empirical likelihood based GMM estimators which employ a semiparametric efficient estimate of the unknown distribution function of the data. One-step, two-step and bootstrap empirical likelihood and conventional GMM estimators are considered which are efficient for a given set of moment conditions. The estimators are subject to a Monte Carlo investigation using a specification which exploits sequential conditional moment restrictions for binary panel data with multiplicative latent effects. Among other findings the experiments show that the one-step and two-step estimators yield coverage rates of confidence intervals below their nominal coverage probabilities. The bootstrap methods improve upon this result.

Suggested Citation

  • Joachim Inkmann, 2000. "Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation," Econometric Society World Congress 2000 Contributed Papers 0332, Econometric Society.
    • Handle: RePEc:ecm:wc2000:0332
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    References listed on IDEAS

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    Cited by:

    1. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, vol. 27(2), pages 413-437.
    2. Inkmann, Joachim, 2001. "Accounting for Nonresponse Heterogeneity in Panel Data," CoFE Discussion Papers 01/03, University of Konstanz, Center of Finance and Econometrics (CoFE).

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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions

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