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GMM with more moment conditions than observations

✍ Scribed by Panutat Satchachai; Peter Schmidt

Book ID
116421832
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
153 KB
Volume
99
Category
Article
ISSN
0165-1765

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## 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