Empirical Likelihood Block Bootstrapping

Jason Allen, Allan Gregory and Katsumi Shimotsu
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Katsumi Shimotsu: Department of Economics, Queen's University

No 1156, Working Paper from Economics Department, Queen's University

Abstract: Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the problem, including Hall and Horowitz (1996) and Inoue and Shintani (2006). We propose an empirical likelihood block bootstrap procedure to improve inference where models are characterized by nonlinear moment conditions that are serially correlated of possibly infinite order. Combining the ideas of Kitamura (1997) and Brown and Newey (2002), the parameters of a model are initially estimated by GMM which are then used to compute the empirical likelihood probability weights of the blocks of moment conditions. The probability weights serve as the multinomial distribution used in resampling. The first-order asymptotic validity of the proposed procedure is proven, and a series of Monte Carlo experiments show it may improve test sizes over conventional block bootstrapping.

Keywords: generalized methods of moments; empirical likelihood; block-bootstrap (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2008-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1156.pdf First version 2008 (application/pdf)

Related works:
Journal Article: Empirical likelihood block bootstrapping (2011)
Working Paper: Empirical Likelihood Block Bootstrapping (2010)
Working Paper: Empirical Likelihood Block Bootstrapping (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1156

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