Newey, Whitney; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005
Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is … use alternative asymptotics, based on many weak moment conditions, that addresses this problem. This asymptotics leads to …, finding that GEL is asymptotically more efficient under many weak moments. …