Bootstrap Inference for Penalized GMM Estimators with Oracle Properties

Lorenzo Camponovo
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Lorenzo Camponovo: University of Surrey

No 618, School of Economics Discussion Papers from School of Economics, University of Surrey

Abstract: We study the validity of bootstrap methods in approximating the sampling distribution of penalized GMM estimators with oracle properties. More precisely, we focus on bridge estimators with L_q penalty for 0

JEL-codes: C12 C13 C52 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2018-02
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0618

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