A Bootstrap Approach to Moment Selection  

Oleh:

Inoue, Atsushi

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 1 (2006), page 48-75.
Topik: variable; edgeworth expansions; instrumental variables
Fulltext: 48.pdf (133.06KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This paper proposes a bootstrap - based procedure for selecting the best moment conditions among a set of correctly specified moment conditions. The proposed method can be motivated by Edgeworth expansions and chooses moment conditions that minimize the approximate coverage error of confidence intervals and hypothesis tests for parameters. Because of the analytical intractability of Edgeworth expansions, we estimate the coverage error by the bootstrap. The proposed method can be applied to a wide class of estimators for possibly non - linear and possibly dynamic models. We investigate the small sample performance of the proposed method in Monte Carlo experiments.

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