Econometrica: Jan 2002, Volume 70, Issue 1

Higher‐Order Improvements of a Computationally Attractive ‐Step Bootstrap for Extremum Estimators
p. 119-162

Donald W. K. Andrews

This paper establishes the higher‐order equivalence of the ‐step bootstrap, introduced recently by Davidson and MacKinnon (1999), and the standard bootstrap. The ‐step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear extremum estimators, such as generalized method of moment and maximum likelihood estimators. The paper also extends results of Hall and Horowitz (1996) to provide new results regarding the higher‐order improvements of the standard bootstrap and the ‐step bootstrap for extremum estimators (compared to procedures based on first‐order asymptotics).

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