To study the influence of a bandwidth parameter in inference with conditional moments, we propose a new class of estimators and establish an asymptotic representation of our estimator as a process indexed by a bandwidth, which can vary within a wide range including bandwidths independent of the...

This paper presents empirical evidence concerning the finite sample performance of conventional and generalized empirical likelihood-type estimators that utilize instruments in the context of linear structural models characterized by endogenous explanatory variables. There are suggestions in the...

This paper presents empirical evidence concerning the finite sample performance of conventional and generalized empirical likelihood-type estimators that utilize instruments in the context of linear structural models characterized by endogenous explanatory variables. There are suggestions in the...