Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

Joachim Inkmann ()

No 00/03, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: This paper compares conventional GMM estimators to empirical likelihood based GMM estimators which employ a semiparametric efficient estimate of the unknown distribution function of the data. One-step, two-step and bootstrap empirical likelihood and conventional GMM estimators are considered which are efficient for a given set of moment conditions. The estimators are subject to a Monte Carlo investigation using a specification which exploits sequential conditional moment restrictions for binary panel data with multipli-cative latent effects. Among other findings the experiments show that the one-step and two-step estimators yield coverage rates of confidence intervals below their nominal coverage probabilities. The bootstrap methods improve upon this result.

JEL-codes: C33 C35 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0003

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