An alternative two-step generalized method of moments estimator based on a reduced form model

Doosoo Kim

Economics Letters, 2020, vol. 192, issue C

Abstract: I propose an alternative two-step generalized method of moment (GMM) estimator when an exactly-identified underlying parameter is available. The resulting estimator does not have the higher-order asymptotic bias arising from the choice of a preliminary weighting matrix.

Keywords: GMM; Reduced form; Continuous updating; Higher-order asymptotic bias; Dynamic panel data model; Minimum distance (search for similar items in EconPapers)
JEL-codes: C1 C13 C3 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301373

DOI: 10.1016/j.econlet.2020.109184

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