On Resampling Inference in Econometric Models
This paper examines alternative applications of resampling methods to estimation and inference in econometric models. The major applications of resampling have been in the construction of sampling distributions. Here, we demonstrate that in models specified by moment condition, often referred to as generalised method of moments, resampling can be used to generate testable implications of these moment restrictions. We also use resampling techniques to correct for the bias of instrumental variables estimation. This estimates the leading term in the Nagar expansion for the bias of such an estimator. Monte Carlo experiments suggest that the correction can lead to sharp improvements in the bias of such estimators in small samples.
KeywordsInstrumental Variable Linear Regression Model Moment Condition Bias Correction Variance Covariance Matrix
Unable to display preview. Download preview PDF.
- Anderson, T.W. (1948) On the Theory of Testing Serial Correlation Biometrika, 58, 53–60.Google Scholar
- Brown, R.L., J. Durbin and J.M. Evans (1975) Techniques for Testing the Constancy of Regression Relations Over Time Journal of the Royal Statistical Society. B, 37, 149–192Google Scholar
- Durbin, J and G.S. Watson (1971) Testing for Serial Correlation in Least Squares Regression Biometrika, 58, 1–19Google Scholar
- Efron, Bradley (1982) The Jackknife, the Bootsrap, and other Resampling Plans,CBMS-NSF Monograph,(38).Google Scholar
- Huber, P (1983) Robust Statistics,New York, J.WileyGoogle Scholar
- Krasker, W.S., E. Kuh and R. Welsch, (1983) Estimation of Dirty Data and Flawed Models, in, Z. Grilliches and M. Intrilligator, (ed.), Handbook of Econometrics, Vol I, North-HollandGoogle Scholar
- Pagan, A and F. Vella (1988) Diagnostic Testing for Models Based on Individual Data: a Survey, mimeo, fothcoming Applied Econometrics Google Scholar
- Wald, A. (1940) The Fitting of Staight Lines when Both Variable are Subject to Error, Annals of Mathematical Statistics, 5, 40–46Google Scholar
- Wald, A. (1952) On the Estimation of Parameters in Incomplete Systems of Equations, in T.C. Koopmans,(ed.) Statistical Inference in Dynamic Economic Models, New York, J. WileyGoogle Scholar
- White, H (1987) Specification Testing in Dynamic Models, in, T. Bewley, (ed.) Advances in Econometrics, Vol I,, Cambridge University PressGoogle Scholar