Method-of-moments estimation and choice of instruments: Numerical computations

We numerically evaluate asymptotic variances and biases of various method-of-moments estimators in the Hansen-Singleton model calibrated to real data. Inspection of resulting figures leads to a conclusion that applied researchers do not always form instrument sets judiciously.

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Year of publication:	2008
Authors:	Anatolyev, Stanislav
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 2, p. 217-220
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005158805