A note on bootstrapping generalized method of moments estimators

Econometric Theory

Volumn 12, Issue 1, 1996, Pages 187-197

  Hahn, Jinyong ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030551644     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006496     Document Type: Article

References (13)

1. Amemiya, T. (1985) Advanced Econometrics. Cambridge: Harvard University Press.
2. Arcones, M. & E. Giné (1992) On the bootstrap of M-estimators and other statistical function-als. In R. LePage & L. Billard (eds.), Exploring the Limits of Bootstrap, pp. 13-47. New York: Wiley.
3. Babu, G.J. (1986) A note on bootstrapping the variance of sample quantile. Annals of the Institute of Statistical Mathematics 38 (A), 439-443.
4. Bickel, P.J. & D.A. Freedman (1981) Some asymptotic theory for the bootstrap. Annals of Statistics 9, 1196-1217.
5. Brown, W. & W. Newey (1992) Bootstrapping for GMM. Seminar note. Massachusetts Institute of Technology.
6. Giné, E. & J. Zinn (1990) Bootstrapping general empirical measures. Annals of Probability 18, 851-869.
7. Hahn, J. (1993) Three Essays in Econometrics. Ph.D. Dissertation, Harvard University.
8. Hall, P. (1986) On the bootstrap and confidence intervals. Annals of Statistics 14, 1431-1452.
9. Hall, P. (1992) The Bootstrap and Edgeworth Expansion. New York: Springer-Verlag.
10. Hansen, L. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054.
11. Pakes, A. & D. Pollard (1986) Simulation and the asymptotics of optimization estimators. Econometrica 57, 1027-1057.
12. Phillips, P. (1991) A shortcut to LAD estimator asymptotics. Econometric Theory 7, 450-463.
13. Pollard, D. (1984) Convergence of Stochastic Processes. New York: Springer-Verlag.