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...

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...

This paper discusses estimation of the semilinear model E[y x, z] = x'[beta] + g(z) using series approximations to the unknown function g(z) under much weaker conditions than heretofore given in the literature. In particular, we allow for z being multidimensional and to have a discrete...

less skilled workers has deteriorated, either through their ability to secure jobs and/or their ability to earn a decent wage. Some have linked this decline to modern computing technologies. This paper surveys the evidence on the effects of technical change on skills, wages and employment by...

The system GMM estimator in dynamic panel data models combines moment conditions for hte differenced equation with moment conditions for the model in levels. An initial optimal weight matrix under homoscedasticity and non-serial correlation is not known for this estimation procedure. It is...

The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or multiplicative errors and it is shown that, in general, a set of instruments is not orthogonal to both error types....

Moment conditions are derived for dynamic linear panel data models with linear individual specific effects in the mean and multiplicative individual effects in the conditional ARCH type variance function. The relation and correlation between the linear and multiplicative effects are...