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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10011940770
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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - Economics Department, Queen's University - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10005653059
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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - Bank of Canada - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10005808401
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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - Graduate School of Economics, Hitotsubashi University - 2010
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10008528935
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of Econometrics 161 (2011) 2, pp. 110-121
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10008866527
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-122
Persistent link: https://www.econbiz.de/10008877473
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-121
Persistent link: https://www.econbiz.de/10009242200
Cover Image
Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2010
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10008699878
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Empirical likelihood block bootstrapping
Allen, Jason (contributor); Gregory, Allan W. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003646389
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Empirical likelihood block bootstrapping
Allen, Jason (contributor); Gregory, Allan W. (contributor);  … - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10003711710