Search Results - subject:"Analytical and Bootstrap Bias-Adjusted Estimators"

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables

Ramalho, Joaquim - Departamento de Economia, Universidade de Évora - 2003

It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. This problem has motivated the search for alternative estimators with better finite sample properties. Two classes of alternatives are considered in this paper. The...

Persistent link: https://www.econbiz.de/10005398690

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures

Ramalho, Joaquim - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1202-1202

It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. In this paper we analyze by simulation the finite sample bias of two classes of alternative estimators. The first includes estimators which are asymptotically...

Persistent link: https://www.econbiz.de/10004966262

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures

Ramalho, Joaquim - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 1, pp. 1202-1202

Persistent link: https://www.econbiz.de/10005751412