Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 178
Issue: P3
Pages: 398-413

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function, which has been considered as critical for GMM. Regardless of model misspecification, the proposed bootstrap achieves the same sharp magnitude of refinements as the conventional bootstrap methods which establish asymptotic refinements by recentering in the absence of misspecification. The key idea is to link the misspecified bootstrap moment condition to the large sample theory of GMM under misspecification of Hall and Inoue (2003). Two examples are provided: combining data sets and invalid instrumental variables.

Technical Details

RePEc Handle
repec:eee:econom:v:178:y:2014:i:p3:p:398-413
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25