Non-Parametric Data Dependent Bootstrap for Conditional Moment Model

Bruce Hansen ()

No 1556, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: A new non-parametric bootstrap is introduced for dependent data. The bootstrap is based on a weighted empirical-likelihood estimate of the one-step-ahead conditional distribution, imposing the conditional moment restrictions implied by the model. This is the first dependent-data bootstrap procedure which imposes conditional moment restrictions on a bootstrap distribution. The method can be applied to form confidence intervals and p-values from hypothesis tests in Generalized Method of Moments estimation The bootstrap method is illustrated with an application to autoregressive models with martingale difference errors.

Date: 2000-08-01
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