enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are …

enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are …

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is … Kleibergen (2005) K statistic is valid under these asymptotics. We also compare these results with a jackknife GMM estimator …

In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and …

heterogenous distributions. We compare both analytically and by means of Monte Carlo simulations the QML estimators with the GMM … the AB GMM estimator, the QML estimators for ρ only suffer from a weak instruments problem when ρ is close to one if the … small bias when ρ is close to one. In contrast, the AB GMM estimator is inconsistent when ρ is equal to one, and is severly …

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of … different experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are …

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …