Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1996, Volume 64, Issue 4

Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators<891:BCVFTB>2.0.CO;2-A
p. 891-916

Joel L. Horowitz, Peter Hall

Monte Carlo experiments have shown that tests based on generalized-method-of-moments estimators often have true levels that differ greatly from their nominal levels when asymptotic critical values are used. This paper gives conditions under which the bootstrap provides asymptotic refinements to the critical values of $t$ tests and the test of overidentifying restrictions. Particular attention is given to the case of dependent data. It is shown that with such data, the bootstrap must sample blocks of data and that the formulae for the bootstrap versions of test statistics differ from the formulae that apply with the original data. The results of Monte Carlo experiments on the numerical performance of the bootstrap show that it usually reduces the errors in level that occur when critical values based on first-order asymptotic theory are used. The bootstrap also provides an indication of the accuracy of critical values obtained from first-order asymptotic theory.

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