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GMM with Many Moment Conditions

✍ Scribed by Chirok Han; Peter C. B. Phillips


Book ID
111052509
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
356 KB
Volume
74
Category
Article
ISSN
0012-9682

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GMM with many weak moment conditions: Re
✍ Helmut Farbmacher πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 141 KB

## SUMMARY In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. __Econometrica__ 2009; **77**(3): 687–719) propose a new variance estimator for generalized empirical likelihood. In Monte Carlo examples they show that __t__‐statistics based on the