A Time-Series Study of the Formation and Predictive Performance of EEC Production Survey Expectations |
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| Authors: | Dominique M Hanssens Pierre M Vanden Abeele |
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| Institution: | 1. Anderson Graduate School of Management, University of California , Los Angeles , CA , 90024-1481;2. Department of Applied Economics , Catholic University of Louvain , 3000 Leuven, Belgium |
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| Abstract: | Generalized method of moments (GMM) has been an important innovation in econometrics. Its usefulness has motivated a search for good inference procedures based on GMM. This article presents a novel method of bootstrapping for GMM based on resampling from the empirical likelihood distribution that imposes the moment restrictions. We show that this approach yields a large-sample improvement and is efficient, and give examples. We also discuss the development of GMM and other recent work on improved inference. |
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| Keywords: | Bootstrapping Empirical likelihood Panel data |
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