This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a...

By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may...