Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference

Bryan W Brown and Whitney Newey

Journal of Business & Economic Statistics, 2002, vol. 20, issue 4, 507-17

Abstract: Generalized method of moments (GMM) has been an important innovation in econometrics. Its usefulness has motivated a search for good inference procedures based on GMM. This article presents a novel method of bootstrapping for GMM based on resampling from the empirical likelihood distribution that imposes the moment restrictions. We show that this approach yields a large-sample improvement and is efficient, and give examples. We also discuss the development of GMM and other recent work on improved inference.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:20:y:2002:i:4:p:507-17

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