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Bootstrap bias-adjusted GMM estimators

Author

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  • Joaquim J.S. Ramalho

    (Department of Economics, University of Évora)

Abstract

The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an instrumental variable framework using Monte Carlo analysis. Promising results were found for the two bootstrap estimators suggested in the paper.

Suggested Citation

  • Joaquim J.S. Ramalho, 2005. "Bootstrap bias-adjusted GMM estimators," Economics Working Papers 10_2005, University of Évora, Department of Economics (Portugal).
    • Handle: RePEc:evo:wpecon:10_2005
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    File URL: http://hdl.handle.net/10174/8424
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    References listed on IDEAS

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    1. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    2. Brown, Bryan W & Newey, Whitney K, 2002. "Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 507-517, October.
    3. Joel L. Horowitz, 1998. "Bootstrap Methods for Covariance Structures," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 39-61.
    4. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    5. Ramalho Joaquim J.S., 2005. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-20, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Esmeralda A. Ramalho & Joaquim J. S. Ramalho, 2017. "Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 397-420, April.
    2. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.

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    More about this item

    Keywords

    GMM; Bootstrap; Empirical Likelihood; Instrumental Variables; Monte Carlo;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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