Publication Date: July 1999
Revision Date: January 2001
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-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 k-step bootstrap for extremum estimators (compared to procedures based on ﬁrst-order asymptotics).
The results of the paper apply to Newton-Raphson (NR), default NR, line-search NR, and Gauss-Newton k-step bootstrap procedures. The results apply to the nonparametric iid bootstrap, non-overlapping and overlapping block bootstraps, and restricted and unrestricted parametric bootstraps. The results cover symmetric and equal-tailed two-sided t tests and conﬁdence intervals, one-sided t tests and conﬁdence intervals, Wald tests and conﬁdence regions, and J tests of over-identifying restrictions.
Asymptotics, block bootstrap, Edgeworth expansion, extremum estimator, Gauss-Newton, generalized method of moments estimator, k-step bootstrap, maximum likelihood estimator, Newton-Raphson, parametric bootstrap, t statistic, test of over-identifying
JEL Classification Codes: C12, C13, C15
See CFP: 1031