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GMM with many weak moment conditions : replication and application of Newey and Windmeijer (2009)
Farbmacher, Helmut - In: Journal of applied econometrics 27 (2012) 2, pp. 343-346
Persistent link: https://www.econbiz.de/10009618618
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Generalized method of moments with many weak moment conditions
Newey, Whitney K.; Windmeijer, Frank - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 3, pp. 687-719
Persistent link: https://www.econbiz.de/10003866992
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GMM with many weak moment conditions
Newey, Whitney K. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003218242
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
Persistent link: https://www.econbiz.de/10001537510
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Moment conditions for fixed effects count data models with endogenous regressors
Windmeijer, Frank - In: Economics letters 68 (2000) 1, pp. 21-24
Persistent link: https://www.econbiz.de/10001481918
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Expend, a Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data
Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001748235
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A finite sample correction for the variance of linear efficient two-step GMM estimators
Windmeijer, Frank - In: Journal of econometrics 126 (2005) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10002538627
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GMM for panel count data models
Windmeijer, Frank (contributor) - 2006
Persistent link: https://www.econbiz.de/10003385789
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GMM for panel count data models
Windmeijer, Frank (contributor) - 2006
Persistent link: https://www.econbiz.de/10003387914
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...
Persistent link: https://www.econbiz.de/10011537937