Bootstrap critical values for tests based on generalized-method-of-moments estimators

Peter Hall, Joel L. Horowitz

Research output: Contribution to journalArticlepeer-review

242 Scopus citations

Abstract

Monte Carlo experiments have shown that tests based on generalized-method-of-moments estimators often have true levels that differ greatly from their nominal levels when asymptotic critical values are used. This paper gives conditions under which the bootstrap provides asymptotic refinements to the critical values of t tests and the test of overidentifying restrictions. Particular attention is given to the case of dependent data. It is shown that with such data, the bootstrap must sample blocks of data and that the formulae for the bootstrap versions of test statistics differ from the formulae that apply with the original data. The results of Monte Carlo experiments on the numerical performance of the bootstrap show that it usually reduces the errors in level that occur when critical values based on first-order asymptotic theory are used. The bootstrap also provides an indication of the accuracy of critical values obtained from first-order asymptotic theory.

Original languageEnglish (US)
Pages (from-to)891-916
Number of pages26
JournalEconometrica
Volume64
Issue number4
DOIs
StatePublished - Jul 1996

Keywords

  • Asymptotic refinement
  • Block bootstrap
  • Dependent data
  • Edgeworth expansion

ASJC Scopus subject areas

  • Economics and Econometrics

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