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...

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...

Using explicit formulas for the information matrix of ML factor analysis under multivariate normal theory, gross and net information for estimating the parameters in a covariance structure gained by adding the associated mean structure are defined. It is proved that a necessary and sufficient...