Search Results - subject:"variance adjustment"

Newey, Whitney K.; Windmeijer, Frank - 2008

Using many moment conditions can improve efficiency but makes the usual generalized method of moments (GMM) inferences inaccurate. Two-step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias, but the usual standard errors are too small in instrumental variable settings. In...

Persistent link: https://www.econbiz.de/10009479997

GMM with many weak moment conditions

Newey, Whitney K.; Windmeijer, Frank - 2005

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small. In this paper we use alternative asymptotics, based on many weak moment...

Persistent link: https://www.econbiz.de/10010318519

GMM with many weak moment conditions

Newey, Whitney; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005

Moments, Variance Adjustment ∗ The NSF provided financial support for this paper under Grant No. 0136869. Helpful comments … be diﬃcult because the dimension of the weighting matrix would grow at the same rate as the sample size. The variance … adjustment that comes out of the many weak instrument asymptotics is diﬀerent from that of Windmeijer (2005). He adjusts for the …

Persistent link: https://www.econbiz.de/10005727673