A Finite Sample Correction for the Variance of Linear Two-Step GMM Estimators
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- Type
- article
- Published
- 2000-11-01
- Cited by
- 3,213
- References
- 25
- Access
- Open access
- OpenAlex
- https://openalex.org/W1604488182
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:118861897
Keywords
Estimator, Statistics, Mathematics, Sample (material), Variance (accounting)
References
- Small Sample Bias in GMM Estimation of Covariance Structures
- Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak
- Estimation and Inference in Two-Step Econometric Models
- On testing overidentifying restrictions in dynamic panel data models
- Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
- GMM inference when the number of moment conditions is large
- Another look at the instrumental variable estimation of error-components models
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Econometric Issues in the Analysis of Regressions with Generated Regressors.
- Information Theoretic Approaches to Inference in Moment Condition Models
- Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation
- Graphical Methods for Investigating the Size and Power of Hypothesis Tests
- Instrumental Variables Regression with Weak Instruments
- Matrix Differential Calculus with Applications
- Efficient Estimation With Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators
- Initial Conditions and Moment Restrictions in Dynamic Panel Data Models
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