Finite Sample Properties of the Dependent Bootstrap for Conditional Moment Models
نویسنده
چکیده
This paper assesses the finite sample refinements of the block bootstrap and the Non-Parametric Bootstrap for conditional moment models. The study recononsiders inference in the generalized method of moments estimation of the consumption asset pricing model of Singleton (1986). These dependent bootstrap resampling schemes are proposed as an alternative to the asymptotic approximation in small samples and as an improvement upon the conventional bootstrap for time series data. This paper is a comparative simulation study of these resampling methods in terms of the differences between the nominal and true rejection probabilities of the test statistics and the nominal and true coverage probabilities of symmetrical confidence intervals. JEL Classification: C1, C22, C52
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