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A Note on Bootstrapping Generalized Method of Moments Estimators

Published online by Cambridge University Press:  11 February 2009

Jinyong Hahn
Jinyong Hahn
Affiliation:
University of Pennsylvania
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Abstract

Recently, Arcones and Giné (1992, pp. 13–47, in R. LePage & L. Billard [eds.], Exploring the Limits of Bootstrap, New York: Wiley) established that the bootstrap distribution of the M-estimator converges weakly to the limit distribution of the estimator in probability. In contrast, Brown and Newey (1992, Bootstrapping for GMM, Seminar note) discovered that the bootstrap distribution of the GMM overidentification test statistic does not converge weakly to the x2 distribution. In this paper, it is shown that the bootstrap distribution of the GMM estimator converges weakly to the limit distribution of the estimator in probability. Asymptotic coverage probabilities of the confidence intervals based on the bootstrap percentile method are thus equal to their nominal coverage probability.

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 1 , March 1996 , pp. 187 - 197
Copyright
Copyright © Cambridge University Press 1996

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References

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