Method-of-moments estimation and choice of instruments: Numerical computations

Stanislav Anatolyev

Economics Letters, 2008, vol. 100, issue 2, 217-220

Abstract: We numerically evaluate asymptotic variances and biases of various method-of-moments estimators in the Hansen-Singleton model calibrated to real data. Inspection of resulting figures leads to a conclusion that applied researchers do not always form instrument sets judiciously.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:2:p:217-220

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