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GMM Estimation with Non-causal Instruments

✍ Scribed by Markku Lanne; Pentti Saikkonen


Book ID
111047074
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
598 KB
Volume
73
Category
Article
ISSN
0140-5543

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## Abstract In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is log‐normally distributed. The second estimator drops the distributional