Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 20, Issue 4, Pages 507-517Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/073500102288618649
Keywords
bootstrapping; empirical likelihood; panel data
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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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