-nested RE models, whose parameter vector is estimated either by GMM, in Chapter 1, or by the continuous updating estimator in … variant of it covered in Durlauf and Maccini (1995). All statistics used for model comparison are evaluated at the GMM …

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent …

costs incurred when they work back gradually to the optimal level. Arellano-Bond (1991) GMM estimator is applied to obtain …

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 … under many weak moments. In addition, we introduce a jackknife GMM estimator, but find that GEL is asymptotically more …

of the single-equation formulations. We provide extensions to existing results on the properties of GMM estimators and … parameters are weakly identified and the GMM estimators are inconsistent and biased in the direction of OLS.We also ¯nd the OLS …