GMM with Many Weak Moment Conditions
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 p...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Econometric Society,
2010-03-03T15:05:05Z.
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| Subjects: | |
| Online Access: | Get fulltext |