Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference

By B. Brown, Whitney K. Newey. 2002

148 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bf4de21efc905e9522fd31853806b44b41ef86d8

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Citations in the corpus

Kernel-Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency (2018, methodology): “…is to establish first-order asymptotic validity, but we conjecture that bootstrap consistency results can be obtained for various modifications of the simple nonparametric bootstrap, including those proposed by Brown and Newey (2002) and Hall and Horowitz (1996) to handle over-identified models.”
Generalized Method of Moments and Macroeconomics (2002, methodology): “An alternative solution based on empirical likelihood weights has been suggested by Brown and Newey (2002) in the context of independent data, but their method does not immediately apply to the block bootstrap.”
The Hausman test, and some alternatives, with heteroskedastic data (2012, background): “Brown and Newey (2002) show that the empirical likelihood bootstrap provides an estimator of the t- and overidentification statistics that is asymptotically efficient.”
On the second-order properties of empirical likelihood with moment restrictions (2007, methodology): “In the second simulation study, we consider the following autoregressive panel data model, which is an example considered in Brown and Newey (2002) Xit = θXit−1 + αi + it, Xi0 = αi 1 − ρ + ei,(4.1) for t = 1, · · · , 4 and i = 1, · · · , n, where |θ| 1, { it}4t=1 and αi are mutually independent…”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “Note that the HJ estimator in equation (10) as well as the GMM estimator in (11) are special cases of the minimum distance estimators with a quadratic norm.”
Testing for Restricted Stochastic Dominance (2013, unknown): “But, as in Brown and Newey (2002), the probabilities of resampling any particular observation are not equal, but are adjusted, by maximisation of the ELF, so as to satisfy the null hypothesis under test.”
Accompanying document to "Point Estimation with Exponentially Tilted Empirical Likelihood" (2005, background): “This property could be helpful when the implied probabilities are employed to improve the efficiency of the bootstrap, as in [7], when the model happens to be misspecified.”
Efficient information theoretic inference for conditional moment restrictions (2005, unknown): “Consequently local Cressie-Read MD estimators achieve the semi-parametric efficiency lower bound; see Chamberlain (1987). A reformulation of the first order conditions defining the local Cressie-Read MD estimator facilitates intuition for the semi-parametric efficiency of the local Cressie-Read MD e”
Empirical Likelihood Methods in Econometrics: Theory and Practice (2006, background): “The term subtracted from ∇θḡ(θ̂cue) in D̃(θ̂cue) makes it a semiparametrically efficient estimator for D. S̄(θ̂cue), however, is just a sample average and therefore not an efficient estimator for S; see Brown and Newey (2002).”
RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS (2005, methodology): “Brown and Newey (2002) propose instead to resample the data with weighting to ensure that the moment conditions hold in the weighted sample.”
ADJUSTED EMPIRICAL LIKELIHOOD WITH HIGH-ORDER PRECISION (2010, methodology): “High-order approximations to the finite sample distribution based on the Bartlett correction or bootstrapping can be helpful [DiCiccio, Hall and Romano (1991), Hall and Horowitz (1996), Brown and Newey (2002), Newey and Smith (2004) and Chen and Cui (2007)]. Yet they do not always live up to their p”
EL inference for partially identified models: Large deviations optimality and bootstrap validity (2010, methodology): “The bootstrap procedure proposed in this paper and in Bugni (2007) were independently derived.”
GEL CRITERIA FOR MOMENT CONDITION MODELS (2011, unknown): “In a random sampling setting, Brown and Newey (2002) independently propose similar empirical measures to (3.1) in which the GMM estimator is substituted in (2.5) and, thus, (2.7) and optimization is with respect to λ alone.”
How Much Is a Reduction of Your Customers' Wait Worth? An Empirical Study of the Fast-Food Drive-Thru Industry Based on Structural Estimation Methods (2011, unknown): “This procedure is advocated when no sample data are available beyond those used to obtain the estimate (see, e.g., Brown and Newey 2002).”