Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095430 | Journal of Econometrics | 2017 | 55 Pages |
Abstract
We first show that the standard GMM bootstrap fails to consistently estimate the distribution of the overidentification restrictions test under lack of first-order identification. We then propose a new bootstrap method that is asymptotically valid in this context. The modification consists of adding an additional term that recenters the bootstrap moment conditions in a way as to ensure that the bootstrap Jacobian matrix is zero when evaluated at the GMM estimate.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Prosper Dovonon, SÃlvia Gonçalves,