FrançaisEnglish

Érudit | Dépôt de documents >
CIRANO - Centre interuniversitaire de recherche en analyse des organisations >
Cahiers scientifiques >

Please use this identifier to cite or link to this item:

https://depot.erudit.org//id/003982dd

Title: Bootstrapping the GMM overidentification test Under first-order underidentification
Authors: Dovonon, Prosper
Gonçalves, Sílvia
Issue Date: 2014-04
Publisher: Centre interuniversitaire de recherche en analyse des organisations (CIRANO)
Series/Report no.: Série scientifique (CIRANO);2014s-25
Scientific series (CIRANO);2014s-25
Abstract: The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first order local identification). An important example for which these conditions are verified is the popular test of common conditionally heteroskedastic features proposed by Engle and Kozicki (1993). As Dovonon and Renault (2013) show, the Jacobian matrix for this model is identically zero at the true parameter value, resulting in a highly nonstandard limiting distribution that complicates the computation of critical values. We first show that the standard bootstrap method of Hall and Horowitz (1996) 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.
URI: http://www.cirano.qc.ca/pdf/publication/2014s-25.pdf
https://depot.erudit.org/id/003982dd
ISSN: 1198-8177
Appears in Collections:Cahiers scientifiques

Files in This Item:

2014s-25.pdf (Adobe PDF ; 398.96 kB)

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

 

About Érudit | Subscriptions | RSS | Terms of Use | Contact us |

Consortium Érudit ©  2016