This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment … conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is … and lower bounds of the finite-sample truncated risk difference between any two estimators, which is used to compare the …

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of … approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …

the internal margin, i.e., the strength, of loss aversion, and empirically study the relation between income risk …-income population of Bogotá, characterized by limited financial education and subject to substantial income risk. In line with the … theoretical predictions, we find that an increase in income risk is associated with higher savings for loss-averse individuals …